{"id":1998,"date":"2023-06-20T19:45:17","date_gmt":"2023-06-20T19:45:17","guid":{"rendered":"https:\/\/nag.com\/?post_type=technical-posters&#038;p=1998"},"modified":"2023-06-20T19:49:13","modified_gmt":"2023-06-20T19:49:13","slug":"algorithmic-differentiation-of-the-local-volatility-model","status":"publish","type":"technical-posters","link":"https:\/\/nag.com\/technical-posters\/algorithmic-differentiation-of-the-local-volatility-model\/","title":{"rendered":"Algorithmic Differentiation of the Local Volatility Model"},"content":{"rendered":"","protected":false},"excerpt":{"rendered":"<p>We took implied volatility data on a grid with 10 maturities and 40 strikes and interpolated using cubic splines. We used 10 point yield and dividend curves. This gave a total of 1,223 derivatives in (2) to compute.<\/p>\n","protected":false},"author":3,"featured_media":2003,"parent":0,"menu_order":0,"template":"","meta":{"content-type":"","footnotes":""},"post-tag":[16,57],"class_list":["post-1998","technical-posters","type-technical-posters","status-publish","has-post-thumbnail","hentry"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v25.8 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Algorithmic Differentiation of the Local Volatility Model - nAG<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/nag.com\/technical-posters\/algorithmic-differentiation-of-the-local-volatility-model\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Algorithmic Differentiation of the Local Volatility Model - nAG\" \/>\n<meta property=\"og:description\" content=\"We took implied volatility data on a grid with 10 maturities and 40 strikes and interpolated using cubic splines. 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