Modern Computational Finance: AAD and Parallel Simulations - Image 1

Price loading...

Wiley Modern Computational Finance: AAD and Parallel Simulations

Name: Modern Computational Finance: AAD and Parallel Simulations
Brand: Wiley

Corporate

Price History & Forecast

No Price Data Available

Price history will appear here once data is collected from Amazon.

Price Distribution

No price data available for histogram

Description

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.

Key Features

New Store Stock

Product Specifications

Brand: Wiley
Format: hardcover
ASIN: 1119539455
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Corporate
Domain: Amazon UK
Release Date: 07 December 2018
Listed Since: 21 May 2018

Barcode

No barcode data available

Wiley Modern Computational Finance: AAD and Parallel Simulations

Price History & Forecast

No Price Data Available

Price Distribution

Description

Key Features

Product Specifications

Barcode

Similar Products You Might Like

Financial Instrument Pricing Using C++ (Wiley Finance)

Computational Finance: Numerical Methods for Pricing Financial Instruments (Quantitative Finance)

Mathematical Finance: Theory, Modeling, Implementation

Financial Instrument Pricing Using C++

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach (Wiley Finance)

Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications (Academic Press Advanced Finance)

Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series)

Risk and Financial Management: Mathematical and Computational Methods

Financial Modelling in Python (The Wiley Finance Series)

Derivatives and Internal Models: Modern Risk Management (Finance and Capital Markets Series)

Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)

Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series)

Stochastic Simulation and Applications in Finance with MATLAB Programs (The Wiley Finance Series)

Professional Financial Computing Using Excel and VBA (Wiley Finance)

Deterministic And Stochastic Topics In Computational Finance

Computational Finance Using C and C# (Quantitative Finance)

Computation and Simulation for Finance: An Introduction with Python (Springer Undergraduate Texts in Mathematics and Technology)

C++ for Financial Mathematics (Chapman and Hall/CRC Financial Mathematics Series)

Quantitative Finance: An Object-Oriented Approach in C++ (Chapman and Hall/CRC Financial Mathematics Series)

Financial Modelling: Theory, Implementation and Practice with MATLAB Source (The Wiley Finance Series)

Machine Learning for Risk Calculations: A Practitioner's View (The Wiley Finance Series)

C++ for Financial Mathematics (Chapman and Hall/CRC Financial Mathematics Series)

Modern Computational Finance: Scripting for Derivatives and xVA

Model Risk In Financial Markets: From Financial Engineering To Risk Management