Date and Place: Thursdays in Room 32-349. For detailed dates see below!
In the Scientific Computing Seminar we host talks of guests and members of the SciComp team as well as students of mathematics, computer science and engineering. Everbody interested in the topics is welcome.
List of Talks
SC Seminar: Anne Schreuder
11:30SC Seminar Room 32-349
Anne Schreuder, TU Kaiserslautern
Computing Greeks with Adjoint Monte Carlo
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.