- Menu
2023
Authors
Brito, J; Goloubentsev, A; Goncharov, E;
Publication
JOURNAL OF COMPUTATIONAL FINANCE
Abstract
In this paper we explain how to compute gradients of functions of the form G = 1/2 Sigma(m)(i=1) (Ey(i) - C-i )(2), which often appear in the calibration of stochastic models, using automatic adjoint differentiation and parallelization. We expand on the work of Goloubentsev and Lakshtanov and give approaches that are faster and easier to implement. We also provide an implementation of our methods and apply the technique to calibrate European options.
The access to the final selection minute is only available to applicants.
Please check the confirmation e-mail of your application to obtain the access code.