
The efficient application of automatic differentiation for computing gradients in financial applications
Author(s) -
Wei Xu,
Xi Chen,
Thomas F. Coleman
Publication year - 2016
Publication title -
carolina digital repository (university of north carolina at chapel hill)
Language(s) - English
DOI - 10.17615/feth-e443
Subject(s) - automatic differentiation , computer science , finance , business , programming language , computation