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

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