Greeks with continuous adjoints: fast to code, fast to run

Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs

Matrix code


Adjoint methods are a hot topic in computational finance. They have a long history outside the financial industry and have been used extensively in optimal control theory, shape optimisation and especially in fluid dynamics (Jameson 1988), design optimisation and many other fields (see Newman et al (1999) and Giles & Pierce (2000) for an overview). The seminal article of Giles & Glasserman (2006) has shown their potential for financial applications using

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