This site is part of the Informa Connect Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.

Informa

Approximation Methods

Your Approximation Methods highlights on the QuantMinds International 2018 agenda

We've got a whole stream of content focused on Approximation Methods on Wednesday 16 May. Key topics under discussion include:

  • Fast analytical approximations to PDEs
  • How useful are asymptotics in financial engineering?
  • Efficient pricing of credit hybrid derivatives

Approximation Methods

Hear from the leading experts in approximation methods including:

Why Not Also Attend:

Quant Invest Summit

Monday 14 May 2018

With growing interest from, and movement of, quants to the buy-side it is increasingly important to address the fundamental quantitative challenges that asset management firms, insurance companies and hedge funds are currently facing day-to-day. 

Join this summit day to hear from a range of asset managers on their quantitative methods applied to investment and asset allocation decisions.

Learn more about the summit
Hands-On Adjoint Coding

Friday 18 May 2018

Workshop Leaders: 

  • Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products EMEA, CREDIT SUISSE; 
  • Uwe Naumann, Professor Of Computer Science, RWTH AACHEN UNIVERSITY

The course provides a hands-on introduction to adjoint algotithmic differentiation (AAD). Both manual coding of adjoints and the use of an operator overloading AAD tool for C++ (dco/c++) will be considered. Hybrid schemes include combinations of hand coding and use of operator overloading as well as integration of local finite difference approximations (bumping) into adjoint code. Participants are encouraged to bring their laptops in order to draw full benefit from the interactive hands-on coding sessions. A C++ compiler should be installed. A trial version of dco/c++ will be distributed. The general adjoint code generation rules are formulated in a language-independent fashion. We use C++ for examples including the main case study in form of a LIBOR market simulation.

Learn more about the workshop