Modern Computational Finance
Antoine Savine
- 20 december 2021
- 9781119540786
Samenvatting:
PRAISE FOR MODERN COMPUTATIONAL FINANCE
“This book is an indispensable resource for any quant. Written by experts in the field and filled with practical examples and industry insights that are hard to find elsewhere, the book sets a new standard for computational finance.”
—Paul Glasserman, Jack R. Anderson Professor of Business, Columbia University
“The global financial crisis resulted in profound changes to quants’ Modus Operandi. Modern Computational Finance describes some of the tools necessary to deal with these changes. This book covers in detail several important topics of interest to anyone who wants to stay au courant with modern developments in financial engineering. While the book is predominantly practically oriented, it strikes a fine balance between theoretical and applied considerations. The authors are prominent practitioners and undisputed thought-leaders in the field. I recommend this book enthusiastically to anyone who wishes to understand the current and emerging trends in financial engineering.”
—Professor Alexander Lipton, Fellow, Connection Science and Engineering, Massachusetts Institute of Technology; Founder and CIO, Sila
“This is a new era that expects a new, expanded skill set from a new generation of quants. This is a new type of publication that combines words, mathematics, and code to offer a full picture for the generic, effective, practical development of modern financial libraries. The authors provide the unique perspective of long-time leading derivatives practitioners. Brilliant.”
—Rolf Poulsen, Professor of Mathematical Finance, University of Copenhagen
An incisive and essential guide to building a complete system for derivative scripting
In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA).
Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers:
- Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques
- Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains
- Discussion of the application of scripting to xVA, complete with a full treatment of branching
Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.