{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/25412"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/25412","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation","abstract":"This dissertation seeks to discuss the adjoint approach to solving affine recursion problems (ARPs) in the context of computing sensitivities of financial instruments. It is shown how, by moving from an intuitive 'forward' approach to solving a recursion to an 'adjoint' approach, one might dramatically increase the computational efficiency of algorithms employed to compute sensitivities via the pathwise derivatives approach in a Monte Carlo setting. Examples are illustrated within the context of the Libor Market Model. 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