Fast correlation Greeks by adjoint algorithmic differentiation

One of the consequences of the recent crisis of the financial markets is a renewed emphasis on rigorous risk management practices. To quantify the financial exposure of financial firms, and to ensure efficient capital allocation and more effective hedging practices, regulators and senior management alike are insisting more and more on a thorough monitoring of risk. Among all businesses, those dealing with complex, over-the-counter derivatives are the ones receiving the most attention.

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