ENGLISH

Modern Computational Finance: Scripting for Derivatives and xVA

By Antoine Savine , Jesper Andreasen

Book information

Publisher
Wiley
Year
2021
ISBN
111954078X, 9781119540786
Language
english
Format
EPUB
Filesize
15 MB (15705440 bytes)
Edition
Volume 2
Pages
288\0
Time added
2021-11-06 17:42:35

Description

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.

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