2017-09-30

AD in finance - endorsement - Luca Capriotti

I had the honor of having my new book endorsed by experts on Algorithmic Differentiation. The endorsement can also be found on the book's back cover.

(Adjoint) Algorithmic Differentiation has quickly become an indispensable tool in modern financial engineering. Marc Henrard’s book is a lucid and concise introduction to the topic. The subject is introduced simply and clearly, from a mathematician’s prospective, and with the clear intention of demystifying the `black magic’ behind the staggering computational benefits of the technique. A nice read that many practitioners are likely to find useful.

Luca Capriotti
Visiting Professor
Department of Mathematics, University College London

2017-09-23

More EUR adjustments?

The ECB has decided to published a new unsecured overnight interest rate benchmark. The press released was posted on its website a couple of days ago. No name has been proposed yet for the new benchmark.

This would be a new benchmark on top of the existing EONIA and STOXX GC Pooling Index.
Those two benchmarks are already the underlying of some derivatives. It is expected that the new index, planned to be published by 2020, will also be used in some derivatives.

That would mean three competing overnight benchmarks in EUR all of them with associated derivatives. That would means twelve (12) possible ON derivatives types. One type for each of the benchmarks used as underlying in combination with each of the benchmarks used for the computation of interest on the mandatory VM amounts, to which you have to add futures, which are equivalent to derivatives with a collateral rate of 0. And you have to add the potential difference in capital treatment for the settle-to-market feature.

The multi-curve framework is definitively not dead, even if LIBOR is dying. Interest rate modelling will continue to be extremely important for all financial markets users. Even if the so-called exotic derivatives have decreased in important since the crisis, the modelling techniques developed for them are becoming more an more important.

I'm working on different research works related to the modelling of the potential impact of the LIBOR disappearance. I will probably take another couple of months to have publishable results, but certainly the changes in the market continue to provide material for academic research and advisory business. Don't hesitate to contact me about any of them.

AD in finance - endorsement - Uwe Naumann

I had the honor of having my new book endorsed by experts on Algorithmic Differentiation. The endorsement can also be found on the book's back cover.


With the number of Greeks relevant for the robust evaluation of financial products increasing steadily over recent years the subject of Algorithmic Differentiation has been gaining substantial popularity in computational finance. Marc Henrard presents an accessible explanation of the subject from the perspective of a highly experienced developer of financial simulation code. His book establishes a very useful entry point into the exciting world of adjoint methods in finance for both practitioners and academics.

Uwe Naumann
Professor
RWTH Aachen University

2017-09-20

AD in finance - endorsement - Andrea Macrina

I had the honor of having my new book endorsed by experts on Algorithmic Differentiation. The endorsement can also be found on the book's back cover.

An easy, short and smooth path to Algorithmic Differentiation in Finance!

Andrea Macrina
Reader in Mathematics
Department of Mathematics
University College London

2017-09-19

Printed!

The printed copies of my book

Algorithmic Differentiation in Finance Explained


are now available.


Picture of the book with Canary Wharf in the background.