{"title":"Stochastic Automatic Differentiation - AAD for Monte-Carlo Simulations - MVA Approximation Methods (Presentation Slides from the 14th Quant Finance Conference, Nice)","authors":"Christian P. Fries","doi":"10.2139/ssrn.3263526","DOIUrl":null,"url":null,"abstract":"This first part of this presentation gives an introduction to stochastic automatic differentiation and its application. The second part of the presentation introduces a simple \"static hedge\" approximation for an SIMM based MVA and compares it with an exact solution (where the exact solution was obtained by the stochastic automatic differentiation).","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Engineering eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3263526","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This first part of this presentation gives an introduction to stochastic automatic differentiation and its application. The second part of the presentation introduces a simple "static hedge" approximation for an SIMM based MVA and compares it with an exact solution (where the exact solution was obtained by the stochastic automatic differentiation).
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