All about AAD

by Antoine Savine

The super short story: a brief introduction in a few words

Another short story: Rolf Poulsen's stellar article in Wilmott


poulsen-2018-wilmott.pdf

And another one: a 15-minute video introduction to

AAD and backpropagation in machine learning and finance

Bloomberg Tech Talks, London, 27th Nov 2019

Slides here:

aad15min.pdf

A not-so-short story:

Computational finance and machine learning in finance

Lectures from the Masters Economics-Mathematics at Copenhagen University

Focused on AAD and backpropagation, and application in finance with implementation in C++

Also in video format, as a recorded lecture at Kings College London, here


And a series of three articles with code on AAD and implementation in finance

Wilmott magazine, all three parts are here, here and here

And the complete story: the AAD book

Beyond AAD: Deep Analytics

Finally, a few external links:

The Wikipedia article


and a few other, excellent books covering the topic