Modern Computational Finance

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Aad and Parallel Simulations

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Aad and Parallel Simulations

Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware.

AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance.

Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software.

This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates.

The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.

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بستن

فرمت کتاب

ebook

زبان

english

تاریخ انتشار

2018

نویسنده

Antoine Savine

ناشر

Wiley

شابک

9781119539452

20,000 تومان

خرید کتاب مطالعه نمونه درخواست ترجمه کتاب

خرید کتاب Modern Computational Finance

Modern Computational Finance

گزارش تخلف

فرمت کتاب

ebook

زبان

english

تاریخ انتشار

2018

نویسنده

ناشر

شابک

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