2 papers
cs.MS2024
Hybrid parallel discrete adjoints in SU2
Johannes Blühdorn, Pedro Gomes, Max Aehle +1
The open-source multiphysics suite SU2 features discrete adjoints by means of operator overloading automatic differentiation (AD). While both primal and discrete adjoint solvers su…
q-fin.MF2024
Mathematics of Differential Machine Learning in Derivative Pricing and Hedging
Pedro Duarte Gomes
This article introduces the groundbreaking concept of the financial differential machine learning algorithm through a rigorous mathematical framework. Diverging from existing liter…