Papers › Automatic Adjoint Differentiation for special functions involving expectations
Automatic Adjoint Differentiation for special functions involving expectations
José Brito, Andrei Goloubentsev, Evgeny Goncharov
We explain how to compute gradients of functions of the form G = 1/2 ∑ᵢ₌₁ᵐ (E yᵢ - Cᵢ)², which often appear in the calibration of stochastic models, using Automatic Adjoint Differentiation and parallelization. We expand on the work of arXiv:1901.04200 and give faster and easier to implement approaches. We also provide an implementation of our methods and apply the technique to calibrate European options.
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