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…