finmath-lib automatic differentiation extensions
Summary:
Implementation of a stochastic automatic differentiation (AD / AAD for Monte-Carlo Simulations).
URL: http://finmath.net/finmath-lib-automaticdifferentiation-extensions/
Developers:
- finmath.net, Christian Fries, Stefan Sedlmair
| Mode: |
Forward Reverse |
| Method: |
Operator overloading |
| Supported Language: |
Java |
Features:
Handles automatic differentiation of stochastic operators like
expectation, conditional expectation, (as it is used in mathematical
finance in the calculation of xVAs, initial margins, etc.).
Part of the Maven central repository.
Requires finmath-lib.
Supported Platforms:
- Windows
- Unix/Linux
- Mac
Licensing: open source
Entries in our publication database that actually use finmath-lib automatic differentiation extensions in the numerical experiments: 0
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