Arthur Pham

icon company @thomsonreuters icon location New York icon location Lead quantitative engineer working on the Adfin pricing library @thomsonreuters.

Results 2 comments of Arthur Pham

BS vol and greeks

> Yes, you can now compute Greeks using tff.math.gradients for backward gradient and tff.math.fwd_gradient for forward gradients for both PDE and Monte Carlo. I will add these as examples to...

Excel crashes

I had the excel crash as well with Release / 32 bits. Upon investigation, it seems that what solves my problem is to change the "Enable Enchanced Instruction Set" (in...