Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
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- Houtan Bastani & Luca Guerrieri, 2008. "On the application of automatic differentiation to the likelihood function for dynamic general equilibrium models," International Finance Discussion Papers 920, Board of Governors of the Federal Reserve System (U.S.).
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- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
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