In this article we present a new approach for automatic adjoint differentiation (AAD) with a special focus on computations where derivatives ∂F(X)/∂X are required for multiple instances of vectors X. In practice, the presented approach […]
We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]
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We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pay attention to the fact that different kinds of applications have their own […]