Who would turn down being offered to do more with fewer resources?


Not that long ago, calculating all first order derivatives of a complex pricing function (at the expense of one additional computation cost) would have sounded like pure fantasy.


Surprisingly, mathematicians had – for a while – in their toolkit a fabulous and elementary technic: the chain rule – which provides Adjoint Differentiation principle, and subsequent formulae. But we’ve only witnessed its massive adoption (within trading rooms, quant teams, etc.) very recently.


Why this sudden popularity, especially in the FRTB-CVA context? What exactly can it offer to investment banks?


Following interviews with our European clients, we are glad to offer you synthetic insights on the possibilities really offered by AAD, beyond dreams & fantasies.




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