2nd European Workshop on Automatic Differentiation

Thursday November 17- Friday November 18, 2005

Whitworth Conference Centre

Cranfield University (Shrivenham Campus)

Defence Academy of the UK

Shrivenham, Swindon

 Mike Giles (Oxford University)

Adjoints in Financial Monte-Carlo Calculations

Abstract:  This talk will discuss the use of adjoints to compute sensitivities in financial Monte Carlo calculations, which is potentially an important new application area for AD.  I will present the key features of the application of relevance to the AD community, and raise a question about the optimal trade-off between taping and recomputation.

Slides: GilesNov05.pdf