Jacques du Toit

Numerical Algorithms Group (NAG) Ltd.

Jacques du Toit studied at the University of the Witwatersrand in Johnannesburg before completing a PhD in Probability Theory at the University of Manchester. Since then he has been a software developer for the Numerical Algorithms Group with a focus on accelerators, algorithmic differentiation and financial mathematics.

Articles by Jacques du Toit

Original research

Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance

This paper demonstrates the flexibility and ease in using C++ algorithmic differentiation (AD) tools based on overloading to numerical patterns (kernels) arising in computational finance.

12 Feb 2018