webinar

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.

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