Modern Computational Finance
Scripting for Derivatives and xVA
Antoine Savine, Jesper Andreasen
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Modern Computational Finance
Scripting for Derivatives and xVA
Antoine Savine, Jesper Andreasen
Über dieses Buch
An incisive and essentialguide to building a complete system for derivative scripting
InVolume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance expertsand practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightfulroadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment andregulatory calculations (like xVA).
Complete with a professional scripting library written in modern C++, this stand-alone volumewalks readers through the construction of a comprehensiverisk and valuationtool.Thisessentialbook also offers:
- Effective strategies for improving scripting libraries, from basic examples—likesupport 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 2is also amust-read resourcefor students and teachers inmaster'sand PhD finance programs.