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Welcome to The Quants Hub

The Quants Hub is a comprehensive online platform for Quantitative Analysts, Risk Managers, Structuring and Trading Desks, Model Validation, Programmers & Developers & Financial Engineers. This empowers you and your institution to create an individualised bespoke educational library. Use the Quants Hub as a learning resource for your team, or part of your companies learning & development strategy.

Thursday 9th October: Algorithmic Differentiation (AD) for Computational Finance: Introduction by Uwe Naumann

Presenter: Uwe Naumann: The Numerical Algorithms Group Ltd. (NAG)


Prerequisites

  • You are interested in accurate and cheap greeks
  • You are unhappy with the accuracy and/or the computational cost of bumping


Outline

Motivation. Tangent and Adjoint AD

  • motivation: accurate and cheap greeks

                 –   hello world of finance: race

  • first- and higher-order tangent and adjoint AD

                 –   tangents (directional derivatives) and adjoints

                 –   associativity of chain rule of differential calculus

                 –   drivers

                 –   second-order tangents and adjoints

                 –   recursion for higher order

  • exercise

Tangent and Adjoint Code by AD (Part I)

  • tangent code

                 –   tangent code generation rules

                 –   example (live)

                 –   tangent code by overloading

                 –   second- and higher-order tangent code

  • adjoint straight-line code

                 –   adjoint code generation rules

                 –   example (live)

  • exercise

Tangent and Adjoint Code by AD (Part II)

  • intraprocedural adjoint code

                 –   control flow reversal

                 –   example (live)

  • interprocedural adjoint code

                 –   split call reversal

                 –   example (live)

  • adjoint code by overloading
  • second- and higher-order adjoint code
  • exercise

Advanced Topics in AD. Outlook

  • checkpointing adjoint code
  • (symbolic) tangents and adjoints of numerical methods
  • coupling with bumping
  • “mind the gap”
  • software tool support
  • conclusion and outlook

Reading

  • U. Naumann: The Art of Differentiating Computer Programs, An Intro-duction to Algorithmic Differentiation, SIAM, 2012. http://www.siam.org/books/se24

Workshop Schedule: 09:30 – 17:00

Break: 11:00 – 11:15
Lunch: 12:45 – 13:45
Break: 15:15 – 15:30

Details

Location:

Radisson Blu Portman Hotel
22 Portman Square
London W1H 7BG
Hotel Website

Flight details:

All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.

Sponsorship:

World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352

Disclaimer:

World Business Strategies command the rights to cancel or alter any part of this programme.

Cancellation:

By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.