Differentiable Pricing
Pricing systems designed for gradients across models and parameters.
Build the mental model first.
Treat calibration and risk as first-class derivatives of the pricing program.
Pricing systems designed for gradients across models and parameters.
Now make it exact.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Every model has a price.
Educational conventions are stated explicitly and may simplify market quotation or settlement details.
Rates are continuously compounded unless the section says otherwise.
Inputs are deterministic in the base model.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Why a quant cares.
Emerging infrastructure pattern spanning AAD, automatic differentiation and ML frameworks.
The hedge has opinions.
Start with the quote convention, then ask which Frontier risk survives the hedge. A number without its convention is merely well-dressed ambiguity.
Ask Bateman about this model →