Event Agenda

duration of course

Speaker:

  • Uwe Naumann, Professor of Computer Science, RWTH Aachen University
     

Day 1 - Wednesday 20th February 2019

08:30

Registration and refreshments

09:00

Getting started with AAD  

  • Principles of AAD and first examples
  • Applications in Finance and discussion of their computational complexity and their rationale

10:30

Morning break

11:00

Adjoints in Finance I

  • Monte Carlo and pathwise derivative method
  • Correlation Greeks and Binning

12:30

Lunch

13:30

Writing First-Order Adjoint Code by Hand – Presentation and Live-Coding

  • While our example are written in C/C++ the derivative code generation rules and underlying theory are applicable to arbitrary imperative programming languages.
  • Driving first derivative models
  • First derivative (tangent and adjoint) code generation rules

15:00

Afternoon break

15:30

Writing First-Order Adjoint Code by Hand – Supervised Exercise

  • First-order adjoint version of Monte Carlo solver for SDE 
  • First-order adjoint version of finite difference solver for PDE

17:00

End of day one

Day 2 - Thursday 21th February 2019

08:30

Refreshments

09:00

Adjoints in Finance II

  • Market price and model parameter sensitivities. Calibration and the Implicit Function Theorem
  • Partial Differential Equations applications

10:30

Morning break

11:00

Adjoints in Finance III

  • Bermudan options and Least Squares Monte Carlo
  • Advanced XVA applications

12:30

Lunch

13:30

Introduction to AAD Software Tool dco/c++ - Presentation and Live Coding

  • The AAD software tool dco/c++ targets C and C++ explicitly. AAD tools for other languages exist. Their discussion is beyond the scope of this course.
  • First-order adjoints by operator and function overloading
  • Higher-order adjoints by template metaprogramming

15:00

Afternoon break

15:30

Hands-on First-Order AAD with dco/++ - Supervised Exercise

  • First-order adjoint version of Monte Carlo solver for SDE by dco/c++ 
  • First-order adjoint version of finite difference solver for PDE by dco/c++

17:00

End of course