(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.
Department of Mathematics, University College London
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.