{"product_id":"modern-computational-finance-9781119540786","title":"Modern Computational Finance","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e\u003cb\u003eAn incisive and essentialguide to building a complete system for derivative scripting\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInVolume 2 of\u003ci\u003eModern Computational Finance Scripting for Derivatives and xVA,\u003c\/i\u003equantitative finance expertsand practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightfulroadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment andregulatory calculations (like xVA).\u003c\/p\u003e \u003cp\u003eComplete with a professional scripting library written in modern C++, this stand-alone volumewalks readers through the construction of a comprehensiverisk and valuationtool.Thisessentialbook also offers:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eEffective strategies for improving scripting libraries, from basic exampleslikesupport for dates and vectorsto advanced improvements, including American Monte Carlo techniques\u003c\/li\u003e \u003cli\u003eExploration of the concepts of fuzzy logic and risk sensitivities,includi\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e“The Global Financial Crisis resulted in profound changes in quants’ Modus Operandi. This timely three-volume set describes some of the tools necessary to deal with these changes. Individual volumes cover in detail several important topics of interest to anyone who wants to stay au courant with modern developments in financial engineering. While the books are predominantly practically oriented, they strike a fine balance between theoretical and applied considerations. The authors are prominent practitioners and indisputable thought-leaders in the field. I recommend this set enthusiastically to anyone who wishes to understand the current and emerging trends in financial engineering.”\u003c\/p\u003e \u003cp\u003e- Prof. Alexander Lipton, Founder and CEO, Stronghold Labs; Fellow, Connection Science and Engineering, Massachusetts Institute of Technology\u003c\/p\u003e\n\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eMy Life in Script by \u003ci\u003eJesper Andreasen\u003c\/i\u003e xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I A Scripting Library in C++\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 3\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Opening Remarks 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 7\u003c\/p\u003e \u003cp\u003e1.1 Scripting is not only for exotics 12\u003c\/p\u003e \u003cp\u003e1.2 Scripting is for cash-flows not payoffs 13\u003c\/p\u003e \u003cp\u003e1.3 Simulation models 15\u003c\/p\u003e \u003cp\u003e1.4 Pre-processing 17\u003c\/p\u003e \u003cp\u003e1.5 Visitors 19\u003c\/p\u003e \u003cp\u003e1.6 Modern implementation in C++ 21\u003c\/p\u003e \u003cp\u003e1.7 Script templates 22\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Expression Trees 25\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 In theory 25\u003c\/p\u003e \u003cp\u003e2.2 In code 35\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Visitors 41\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 The visitor pattern 41\u003c\/p\u003e \u003cp\u003e3.2 The debugger visitor 47\u003c\/p\u003e \u003cp\u003e3.3 The variable indexer 50\u003c\/p\u003e \u003cp\u003e3.4 Pre-processors 54\u003c\/p\u003e \u003cp\u003e3.5 Const visitors 55\u003c\/p\u003e \u003cp\u003e3.6 The evaluator 57\u003c\/p\u003e \u003cp\u003e3.7 Communicating with models 65\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Putting Scripting Together with a Model 71\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 A simplistic Black-Scholes Monte-Carlo simulator 71\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.1.1 Random number generators \u003c\/i\u003e71\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.1.2 Simulation models \u003c\/i\u003e73\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.1.3 Simulation engines \u003c\/i\u003e76\u003c\/p\u003e \u003cp\u003e4.2 Connecting the model to the scripting framework 76\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Core Extensions and the “Pays” Keyword 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 In theory 81\u003c\/p\u003e \u003cp\u003e5.2 In code 83\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Basic Improvements\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 93\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Past Evaluator 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Macros 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Schedules of Cash-Flows 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Support for Dates 105\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Predefined Schedules and Functions 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Support for Vectors 113\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Basic functionality 113\u003c\/p\u003e \u003cp\u003e11.2 Advanced functionality 115\u003c\/p\u003e \u003cp\u003e\u003ci\u003e11.2.1 New node types \u003c\/i\u003e116\u003c\/p\u003e \u003cp\u003e\u003ci\u003e11.2.2 Support in the parser \u003c\/i\u003e116\u003c\/p\u003e \u003cp\u003e\u003ci\u003e11.2.3 Processing \u003c\/i\u003e117\u003c\/p\u003e \u003cp\u003e\u003ci\u003e11.2.4 Evaluation \u003c\/i\u003e117\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Advanced Improvements Introduction 121\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Linear Products 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Interest rates and swaps 123\u003c\/p\u003e \u003cp\u003e12.2 Equities, foreign exchange, and commodities 125\u003c\/p\u003e \u003cp\u003e12.3 Linear model implementation 126\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Fixed Income Instruments 127\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Delayed payments 127\u003c\/p\u003e \u003cp\u003e13.2 Discount factors 128\u003c\/p\u003e \u003cp\u003e13.3 The simulated data processor 129\u003c\/p\u003e \u003cp\u003e13.4 Indexing 129\u003c\/p\u003e \u003cp\u003e13.5 Upgrading “pays” to support delayed payments 131\u003c\/p\u003e \u003cp\u003e13.6 Annuities 132\u003c\/p\u003e \u003cp\u003e13.7 Forward discount factors 132\u003c\/p\u003e \u003cp\u003e13.8 Back to equities 132\u003c\/p\u003e \u003cp\u003e13.9 Libor and rate fixings 133\u003c\/p\u003e \u003cp\u003e13.10 Scripts for swaps and options 134\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Multiple Underlying Assets 137\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Multiple assets 137\u003c\/p\u003e \u003cp\u003e14.2 Multiple currencies 139\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 American Monte-Carlo 143\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Least Squares Method 143\u003c\/p\u003e \u003cp\u003e15.2 One proxy 147\u003c\/p\u003e \u003cp\u003e15.3 Additional regression variables 149\u003c\/p\u003e \u003cp\u003e15.4 Feedback and exercise 149\u003c\/p\u003e \u003cp\u003e15.5 Multiple exercise and recursion 152\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Fuzzy Logic and Risk Sensitivities Introduction 157\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Risk Sensitivities with Monte-Carlo 161\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Risk instabilities 161\u003c\/p\u003e \u003cp\u003e16.2 Two approaches toward a solution 165\u003c\/p\u003e \u003cp\u003e16.3 Smoothing for digitals and barriers 166\u003c\/p\u003e \u003cp\u003e16.4 Smoothing for scripted transactions 168\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Support for Smoothing 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 An Automated Smoothing Algorithm 175\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Basic algorithm 176\u003c\/p\u003e \u003cp\u003e18.2 Nested and combined conditions 179\u003c\/p\u003e \u003cp\u003e18.3 Affected variables 179\u003c\/p\u003e \u003cp\u003e18.4 Further optimization 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 Fuzzy Logic 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 Condition Domains 189\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e20.1 Fuzzy evaluation of discrete conditions 189\u003c\/p\u003e \u003cp\u003e\u003ci\u003e20.1.1 Condition domains \u003c\/i\u003e189\u003c\/p\u003e \u003cp\u003e\u003ci\u003e20.1.2 Constant conditions \u003c\/i\u003e190\u003c\/p\u003e \u003cp\u003e\u003ci\u003e20.1.3 Boolean conditions \u003c\/i\u003e191\u003c\/p\u003e \u003cp\u003e\u003ci\u003e20.1.4 Binary conditions \u003c\/i\u003e193\u003c\/p\u003e \u003cp\u003e\u003ci\u003e20.1.5 Discrete conditions \u003c\/i\u003e193\u003c\/p\u003e \u003cp\u003e\u003ci\u003e20.1.6 Putting it all together \u003c\/i\u003e197\u003c\/p\u003e \u003cp\u003e20.2 Identification of condition domains 198\u003c\/p\u003e \u003cp\u003e20.3 Constant expressions 201\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 Limitations 203\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e21.1 Dead and alive 203\u003c\/p\u003e \u003cp\u003e21.2 Non-linear use of fuzzy variables 206\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 22 The Smoothing Factor 209\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e22.1 Scripting support 209\u003c\/p\u003e \u003cp\u003e22.2 Automatic determination 211\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V Application to xVA \u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 23 xVA 215\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 24 Branching 219\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 25 Closing Remarks 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e25.1 Script examples 223\u003c\/p\u003e \u003cp\u003e25.2 Multi-threading and AAD 228\u003c\/p\u003e \u003cp\u003e25.3 Advanced LSM optimizations 229\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Parsing 231\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.1 Preparing for parsing 231\u003c\/p\u003e \u003cp\u003eA.2 Parsing statements 234\u003c\/p\u003e \u003cp\u003eA.3 Recursively parsing conditions 238\u003c\/p\u003e \u003cp\u003eA.4 Recursively parsing expressions 244\u003c\/p\u003e \u003cp\u003eA.5 Performance 252\u003c\/p\u003e \u003cp\u003eBibliography 255\u003c\/p\u003e \u003cp\u003eIndex 257\u003c\/p\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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