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 P&P in the UK 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: 69.68 GBP
Location: Castle Donington
End Time: 2025-02-14T20:42:38.000Z
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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: John Wiley & Sons INC International Concepts
Item Height: 230 mm
Subject: Computer Science
Publication Year: 2018
Type: Textbook
Item Weight: 966 g
Author: Antoine Savine, Leif Andersen
Item Width: 159 mm
Format: Hardcover
