Structured products desks join the AAD revolution
Dealers in the structured products market have begun applying adjoint algorithmic differentiation to a variety of complex pricing and analytics problems, with a staggering increase in computation speeds as a result. But challenges remain before the technique can be utilised more widely
Dealers in the structured products market are used to facing down complex risk management challenges. But the continued need to do so quickly and accurately across a large, diverse book of products is throwing up a more mundane issue: a lack of processing capacity. Calculating a product's sensitivity to a huge variety of risk factors, commonly known as Greeks, is placing an ever-increasing strain on the modelling and computational demands of issuers' pricing and risk models.
Many dealers have
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