Description

Book Synopsis
Derivatives Algorithms provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols that support ever more complex trades and models.

Table of Contents
Principles; Types and Interfaces; Vector and Matrix Computations; Persistence and Memory; Testing Framework; Further Maths; Schedules; Indices; Pricing Protocols; Standardized Trades; Curves; Models; Pricing Engines; Closed Form Pricing; Additional Code.

Derivatives Algorithms - Volume 1: Bones

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    A Hardback by Thomas Hyer

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      Publisher: World Scientific Publishing Co Pte Ltd
      Publication Date: Publication Date: 15/04/2010
      ISBN13: 9789814289801, 978-9814289801
      ISBN10: 9814289809

      Description

      Book Synopsis
      Derivatives Algorithms provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols that support ever more complex trades and models.

      Table of Contents
      Principles; Types and Interfaces; Vector and Matrix Computations; Persistence and Memory; Testing Framework; Further Maths; Schedules; Indices; Pricing Protocols; Standardized Trades; Curves; Models; Pricing Engines; Closed Form Pricing; Additional Code.

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