Dmitri Goloubentsev

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20192026

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q-fin.CP2021

Adjoint Differentiation for generic matrix functions

Andrei Goloubentsev, Dmitri Goloubentsev, Evgeny Lakshtanov

We derive a formula for the adjoint $A$ of a square-matrix operation of the form $C = f (A)$ , where $f$ is holomorphic in the neighborhood of each eigenvalue. We then apply…

q-fin.CP2019

Remarks on stochastic automatic adjoint differentiation and financial models calibration

Dmitri Goloubentsev, Evgeny Lakshtanov

In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form $G = \frac{1}{2} \sum_{1}^{m} (E y_{i} - C_{i})^{2}$ , which often appear in the calibration of stocha…