Event Agenda

The training course agenda

Day 1 - Wednesday 20th March 2019

Speaker: Uwe Naumann, Professor of Computer Science, RWTH Aachen University 

09:00

Registration and refreshments

09:30

Getting started with AAD  

  • Introduction to Algorithmic Differentiation (AD)
    Terminology
     Motivation
     Essential Ingredients
  • Principles of AAD and first examples
  • Applications in Finance and discussion of their computational complexity and their rationale

11:00

Morning break

11:30

Implementation of First-Order AD

  • Tangents 
  • Source transformation (hand coding)
  • Overloading (dco/c++)
  • Adjoints 
  • Source transformation (hand coding) 
  • Overloading (dco/c++)
  • Essential Improvements of Adjoint AD 
  • Preaccumulation 
  • Pathwise adjoints
  • Hands-on 
      

13:00

Lunch

14:00

Implementation of First-Order AD - Continued

15:30

Afternoon break

16:00

Advanced Topics in AD

  • Second (and higher) order AD
  • Adjoint linear algebra 
  • Symbolic adjoint-based on implicit function theorem
  • Data-flow reversal and checkpointing
  • Reduction of adjoint memory requirement 
  • Adjoint code design patterns 

17:30

End of day one

Day 2 - Thursday 21th March 2019

Speaker: Luca Capriotti, Managing Director, Global Head of Quantitative Strategies, Credit Suisse 

09:00

Refreshments

09:30

Adjoints in Finance I

  • Applications in finance (computational complexity and rationale)
  • Monte Carlo and Pathwise Derivative Method
  • Correlation Greeks and Binning

11:00

Morning break

11:30

Adjoints in Finance II

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

13:00

Lunch

14:00

Adjoints in Finance III

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

15:30

End of course