Details
Name
José BritoRole
ResearcherSince
05th September 2023
Nationality
PortugalCentre
Power and Energy SystemsContacts
+351222094000
jose.brito@inesctec.pt
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2023
Authors
Brito, J; Goloubentsev, A; Goncharov, E;
Publication
JOURNAL OF COMPUTATIONAL FINANCE
Abstract
In this paper we explain how to compute gradients of functions of the form G = 1/2 Sigma(m)(i=1) (Ey(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 Goloubentsev and Lakshtanov and give approaches that are faster and easier to implement. We also provide an implementation of our methods and apply the technique to calibrate European options.
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