2017-09-23

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

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