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.
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.