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
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.
Hands-On Adjoint Coding
Friday 18 May 2018
- 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.