Description: Modern Computational Finance : AAD and Parallel Simulations with Professional Implementation in C++, Hardcover by Savine, Antoine; Andersen, Leif (FRW), ISBN 1119539455, ISBN-13 9781119539452, Like New Used, Free shipping in the US 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 Banks 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 Financs, written by three of the very people who designed Danske Banks 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.
Th 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. Th builds the code step-by-step, while the code illustrates the concepts and notions developed in th.
Price: 90.14 USD
Location: Jessup, Maryland
End Time: 2025-01-31T00:21:23.000Z
Shipping Cost: 0 USD
Product Images
Item Specifics
Return shipping will be paid by: Buyer
All returns accepted: Returns Accepted
Item must be returned within: 14 Days
Refund will be given as: Money Back
Return policy details:
Book Title: Modern Computational Finance : AAD and Parallel Simulations with
Number of Pages: 592 Pages
Publication Name: Modern Computational Finance : Aad and Parallel Simulations
Language: English
Publisher: Wiley & Sons, Incorporated, John
Item Height: 1.5 in
Subject: Programming / General, Finance / General, Applied
Publication Year: 2018
Item Weight: 32.1 Oz
Type: Textbook
Subject Area: Mathematics, Computers, Business & Economics
Author: Antoine Savine
Item Length: 9.2 in
Item Width: 6.2 in
Format: Hardcover
