MARC details
| 000 -LEADER |
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| fixed length control field |
02517nam a22003015i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
19612754 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20201020094442.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
170427s2017 nyu 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
|---|
| LC control number |
2017941212 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783319539782 (pbk) |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
NCL |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Edition number |
23 |
| Classification number |
515.330285 |
| Item number |
HEN-A 2017 10874 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Henrard, Marc |
| 245 01 - TITLE STATEMENT |
|---|
| Title |
Algorithmic differentiation in finance explained./ |
| Statement of responsibility, etc. |
by Marc Henrard |
| 263 ## - PROJECTED PUBLICATION DATE |
|---|
| Projected publication date |
1706 |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
New York, NY : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2017. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
103 p.; |
| Dimensions |
23 cm. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1 Introduction; 2 The Principles of AlgorithmicDifferentiation; 3 Application to Finance; 4 Automatic Algorithmic Differentiation; 5 Derivatives to Non-inputs and Non-derivatives to Inputs; 6 Calibration; Appendix A Mathematical Results; Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus on implementation. Algorithmic Differentiation (AD) has been popular in engineering and computer science, in areas such as fluid dynamics and data assimilation for many years. Over the last decade, it has been increasingly (and successfully) applied to financial risk management, where it provides an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Calculating derivatives exposure across a portfolio is no simple task. It requires many complex calculations and a large amount of computer power, which in prohibitively expensive and can be time consuming. Algorithmic differentiation techniques can be very successfully in computing Greeks and sensitivities of a portfolio with machine precision. Written by a leading practitioner who works and programmes AD, it offers a practical analysis of all the major applications of AD in the derivatives setting and guides the reader towards implementation. Open source code of the examples is provided with the book, with which readers can experiment and perform their own test scenarios without writing the related code themselves. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Automatic differentiation |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Economics, Mathematical |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial engineering |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
|---|
| a |
0 |
| b |
ibc |
| c |
orignew |
| d |
2 |
| e |
epcn |
| f |
20 |
| g |
y-gencatlg |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Koha item type |
Books |
