Monte-Carlo based product algorithmic differentiation
Registered by
Lakshmi Krishnamurthy
■Formulation and implementation of a) path-wise self-Jacobian estimator, b) path-wise parameter Jacobian estimator, and c) path-wise product payoff derivative estimator.
■Compute the product path-wise pay-off derivative estimator, along with the implementation for specific products.
Blueprint information
- Status:
- Complete
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Approved
- Assignee:
- None
- Definition:
- Approved
- Series goal:
- Accepted for 2.1
- Implementation:
-
Implemented
- Milestone target:
-
2.1
- Started by
- Lakshmi Krishnamurthy
- Completed by
- Lakshmi Krishnamurthy
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