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| 自動微分によるグリークス計算× | 局所ボラティリティ (Dupire)× | |
|---|---|---|
| 分野 | 数理ファイナンス | 数理ファイナンス |
| 系統≠ | Machine learning | Regression model |
| 提唱年≠ | 2008 | 1994 |
| 提唱者≠ | Mike Giles, Iman Homescu | Bruno Dupire |
| 種類≠ | Sensitivity Analysis | Equity/FX Model |
| 原典≠ | Giles, M. B. (2008). Adjoint code by automatic differentiation. Journal of Computational Finance, 12(1), 1-18. link ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ |
| 別名≠ | AD Greeks, Algorithmic Differentiation, Autodiff | Deterministic Volatility Function, DVF |
| 関連≠ | 3 | 4 |
| 概要≠ | Automatic differentiation (AD) is a computational technique for computing derivatives (Greeks) by differentiating the computer code that computes the option price. AD avoids manual derivation of formulas and finite-difference approximations, yielding exact sensitivities with machine precision. It has become essential for real-time risk management in modern trading systems. | Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option pricing. |
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