Modern Computational Finance


Scripting for Derivatives and xVA

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