Automatic Adjoint Differentiation for special functions involving expectations

Jos\'e Brito, Andrei Goloubentsev and Evgeny Goncharov

Papers from arXiv.org

Abstract: We explain how to compute gradients of functions of the form $G = \frac{1}{2} \sum_{i=1}^{m} (E y_i - C_i)^2$, which often appear in the calibration of stochastic models, using Automatic Adjoint Differentiation and parallelization. We expand on the work of arXiv:1901.04200 and give faster and easier to implement approaches. We also provide an implementation of our methods and apply the technique to calibrate European options.

Date: 2022-04, Revised 2023-01
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