To access the document, go to https://github.com/asavine/CompFinance/blob/master/Intro2AADinMachi...
This is a work in progress, feedback is highly appreciated.
Content
Introduction
Deep Learning
Back-Propagation in deep neural nets
AD through evaluation graphs
Recording calculations on tape
AAD
AAD for financial simulations
Comment
Much honored to be invited by Kings College London to deliver this presentation on 28th and 29th March: https://www.eventbrite.co.uk/e/the-practitioners-lecture-series-int...
Looks like it is the same Brownian motion we are talking about :) For an introduction in finance, we usually recommend Bjork's book
https://www.amazon.com/Arbitrage-Theory-Continuous-Oxford-Finance/d...
Wondering if my presentation of Brownian motions (BM), differential and integrated BM, is compatible with the traditional definition found in quant books or taught at Princeton, or used by physicists. See my presentation about this topic, in the first two chapters of my book Applied Stochastic Processes, Chaos Modeling, and Probabilistic Pro....
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