19 Jun

Luca Capriotti, “Real Time Risk Management with Adjoint Algorithmic Differentiaton”

Friday June 20  2014
11.00 – 12.30, 14.30 – 16.00
Scuola Normale Superiore
Aula Bianchi

Luca Capriotti
Credit Suisse London

Real Time Risk Management with Adjoint Algorithmic Differentiaton

Abstract
Adjoint Algorithmic Differentiation (AAD) is one of the principal innovations in risk management of the recent times. In this minicourse I will introduce AAD and show how it can be used to implement the calculation of price sensitivities in complete generality and with minimal analytical effort. The focus will be the application to Monte Carlo methods – generally the most challenging from the computational point of view. With several examples I will illustrate the workings of AAD and demonstrate how it can be straightforwardly implemented to reduce the computation time of the risk of any portfolio by order of magnitudes. 

Download flyer here and slides here.

All interested people are kindly invited.