MoneyScience: News item - Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)

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Journals - Risk.net Mon, 25 Feb 2019 15:37:38 GMT

In this paper, the author applies stochastic (backward) automatic differentiation to calculate stochastic forward sensitivities.

Mon, 25 Feb 2019 15:37:38 GMT

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