Anne Schreuder, TU Kaiserslautern

Title:
Computing Greeks with Adjoint Monte Carlo

Abstract:

Pricing financial product is very important in the finance industry. Likewise is the computation of their price sensitivities. In this talk we are particular interested in the situation in which the price of a financial product depends on its future (expected) value at a given time T.
The question is when and how we can compute the dependency of the future expected value on the present value. A straightforward solution is using a stochastic version of the Euler method, which allows a very efficient reformulation as adjoint computation of Algorithmic Differentiation.