{"id":482,"date":"2014-06-19T22:04:35","date_gmt":"2014-06-19T21:04:35","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/index.php\/seminario-capriotti\/"},"modified":"2015-07-17T09:13:38","modified_gmt":"2015-07-17T08:13:38","slug":"seminario-capriotti","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/seminario-capriotti\/","title":{"rendered":"Luca Capriotti, &#8220;Real Time Risk Management with Adjoint Algorithmic Differentiaton&#8221;"},"content":{"rendered":"<p style=\"text-align: center;\"><span lang=\"IT\">Friday June 20<span style=\"font-size: 12px; line-height: 0px;\">\u00a0<\/span>\u00a02014<\/span><br \/>\n11.00 &#8211; 12.30,\u00a014.30 &#8211; 16.00<br \/>\nScuola Normale Superiore<br \/>\nAula Bianchi<\/p>\n<p style=\"text-align: center;\"><b>Luca Capriotti<br \/>\n<\/b><span style=\"font-size: small;\"><span style=\"line-height: 19px;\">Credit Suisse London<\/span><\/span><\/p>\n<p style=\"text-align: center;\" align=\"center\"><b>Real Time Risk Management with Adjoint Algorithmic Differentiaton<\/b><\/p>\n<p style=\"text-align: center;\"><strong><span lang=\"EN-GB\">Abstract<br \/>\n<\/span><\/strong>Adjoint\u00a0Algorithmic 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 &#8211; 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. \ufffc<\/p>\n<p style=\"text-align: center;\">Download flyer\u00a0<a href=\"http:\/\/mathfinance.sns.it\/\/wp-content\/uploads\/2014\/06\/Capriotti_20_06_14-mini-corso.pdf\" target=\"_blank\">here<\/a>\u00a0and slides\u00a0<a href=\"http:\/\/mathfinance.sns.it\/\/wp-content\/uploads\/2014\/06\/MiniCourseAAD_SNS.pdf\" target=\"_blank\">here<\/a>.<\/p>\n<p style=\"text-align: center;\">All interested people are kindly invited.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Friday June 20\u00a0\u00a02014 11.00 &#8211; 12.30,\u00a014.30 &#8211; 16.00 Scuola Normale Superiore Aula Bianchi Luca Capriotti Credit Suisse London Real Time Risk Management with Adjoint Algorithmic Differentiaton Abstract Adjoint\u00a0Algorithmic 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 [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[43],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/482"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=482"}],"version-history":[{"count":5,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/482\/revisions"}],"predecessor-version":[{"id":568,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/482\/revisions\/568"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=482"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=482"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=482"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}