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Algorithmic Differentiation and the Buy-side

John Hull, PhD and Alan White, PhD discuss adjoint algorithmic differentiation and the impact it is having on the buy-side. Alan White mentioned, “AAD is very consistent with the evolution of the derivatives market, which has moved from exotic products to now exotic risk management. There are now incredibly computationally-intensive procedures firms have to use to calculate the appropriate risk measures.” White elaborated, “One might say, regulators are pushing institutions in the direction of AAD. It is essentially impossible to measure risk of OTC derivatives without using Monte Carlo simulation, and so anything that can speed up computations is very helpful.” 


The Case for AD

Traditional risk measurement strategies aren't cutting it anymore.