Algorithmic Differentiation for Greeks Stability and Fast Computation
Why Attend
Join us to discover how the Jacobian Greeks approach and Algorithmic Differentiation can revolutionize your Greeks calculations, making them faster and more accurate while overcoming the limitations of traditional methods.
Presenter
Cyrus Chu, SVP of Financial Engineering, Numerix
Date
November 13, at 9:00am EST
The classical bump-and-reprice approach to calculating Greeks can be computationally expensive and prone to numerical instability, especially for complex models. These challenges have sparked research into more efficient and stable alternatives. Algorithmic Differentiation (AD) systematically applies the chain rule of calculus to compute derivatives quickly and accurately. By leveraging AD, the Jacobian Greeks approach efficiently calculates sensitivities with respect to market quotes, making it a powerful tool for calculating Greeks.
Join our solution webinar to explore the modeling framework for Algorithmic Differentiation, how it addresses technical challenges, and gain insights on the benefits of AD Greeks compared to the Bump-and-Reprice approach.
In this webinar, Cyrus will:
- Discuss the bump-and-reprice approach, highlighting its technical challenges and the reasons for seeking alternative methods. challenges and reasons for exploring alternative approaches.
- Introduce the Jacobian Greeks approach and how it relates to AD.
- Provide a brief explanation of how this framework addresses technical challenges while highlighting key points in the theory of AD.
- Illustrate the result of a simple example comparing the calculation time of between classical methods and AD.
- Summarize some advantages and disadvantages of using the two approaches.
Featured Speakers
Cyrus Chu
Cyrus is a financial engineer at Numerix, based in Hong Kong, with over 10 years of experience. He helps clients in the Asian region with solution implementation, model validation as well as product development. Prior to joining Numerix, he worked as a quant at Citibank, focusing on the structuring and valuation of equity products. He holds a PhD in Mathematics from Hong Kong University of Science and Technology and has post-doctoral experience from the University of Toronto in Canada.
Udi Sela
Udi Sela has been active in foreign exchange derivatives markets for over 25 years. As a senior derivatives trader and trading manager at Citibank and JPMorgan, he developed expertise in derivatives spanning both vanilla and complex FX options. After his trading career, he has led product development, pre-sales and business development functions within a range of financial software vendors. Mr. Sela is currently responsible for product and field marketing at Numerix.
