Skip to content

Commit 6e1b64c

Browse files
committed
...
1 parent d4a5a0e commit 6e1b64c

File tree

2 files changed

+1
-1
lines changed

2 files changed

+1
-1
lines changed

differential.png

1.22 KB
Loading

readMe.md

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -24,7 +24,7 @@ AAD arguably constitutes the most significant progress in computation finance of
2424

2525
*New implementations of AAD are pushing the limits of its efficiency, while quantitative analysts are leveraging them in unexpected ways, besides the evident application to risk sensitivities or calibration.*
2626

27-
To a large extent, differential machine learning is another strong application of AAD. It is AAD that gave us the massive number of accurate differentials necessary to implement it, for a very cheap computation cost, and is ultimately responsible for its spectacular performance improvement.
27+
To a large extent, differential machine learning is another strong application of AAD. It is AAD that gave us the massive number of accurate differentials necessary to implement it, for a very cheap computation cost, and is ultimately responsible for its spectacular performance improvement. The real-world examples in the Risk paper, sections 3.2 and 3.3, were trained on AAD differential labels.
2828

2929
The Risk paper or the complements do not cover AAD. Readers are referred to the (stellar) founding paper. [This textbook](https://www.amazon.com/Modern-Computational-Finance-Parallel-Simulations-dp-1119539455/dp/1119539455) provides a complete, up to date overview of AAD, its applications in finance, and a complete, professional implementation in modern C++.
3030

0 commit comments

Comments
 (0)