Talk: Chapters 1 and 2 of Evaluating Derivatives

Over the summer of 2021, our reading group read “Evaluating Derivatives”, Greiwank and Walther’s authoritative text on Automatic Differentiation (AD). We were motivated by the central importance of AD to modern deep learning, as well as its power as a technique for risk-management of derivatives portfolios.

We were privileged to have Andreas Greiwank, one of the co-authors and a world-expert on AD, attend our virtual meetings. Professor Greiwank has since tragically passed away. I am grateful for the knowledge and insight I gained from our interactions.

While my talk for the reading group was not recorded, I decided to re-record it for posterity. The talk covers the first two chapters of the text, as well some financial motivation for the relevance of AD. The recording is here.