Scientific Computing Seminar

Date and Place: Thursdays in Room 32-349. For detailed dates see below!

Content

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

Event Information:

  • Thu
    06
    Dec
    2018

    SC Seminar: Anne Schreuder

    11:30SC Seminar Room 32-349

    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.