Join us at Risk Magazine's flagship conference, the 21st annual Risk USA, in New York at the Marriott Marquis. This conference will take place on October 21-22nd in with pre and post conference workshops on October 20th & 23rd.
Make sure to attend Russell Goyder, PhD breakfast presentation on October 22 at 7:30 a.m. on Algorithmic Differentiation – Game-Changer for Market Risk Management.
Algorithmic Differentiation (AD) is a game changer for valuation and risk in the front and middle office. Calculating greeks is the foundation of effective portfolio hedging and AD delivers incredible performance improvement (often 100-1000x) over the traditional method of finite difference (bumping). Historically, the biggest challenge to adopting AD has been the high implementation cost, putting it beyond the reach of most firms. Join Russell Goyder, PhD, on October 22 at 7:30am for breakfast and to learn about AD and:
- How it accelerates risk from overnight to pre-trade
- The cost of adding it to your risk analytics library
- The principles behind making it Universal for all trade, model, and valuation methods
- Performance benchmarking against bumping
- How to use it to control your market risk profile precisely
- How to use it to improve portfolio hedging accuracy, stability and cost