<p><b>An incisive and essential guide to building a complete system for derivative scripting </b></p> <p>In Volume 2 of <i>Modern Computational Finance Scripting for Derivatives and xVA,</i> quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). </p> <p>Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: </p> <ul> <li>Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques </li> <li>Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains </li> <li>Discussion of the application of scripting to xVA, complete with a full treatment of branching </li> </ul> <p>Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, <i>Modern Computational Finance Scripting for Derivatives and xVA</i>: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs. </p>
Modern Computational Finance
Scripting for Derivatives and xVA
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