Derivatives Algorithms

Volume 1: Bones

Business & Finance, Finance & Investing, Finance, Nonfiction, Computers, Programming
Cover of the book Derivatives Algorithms by Tom Hyer, World Scientific Publishing Company
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Tom Hyer ISBN: 9789814699532
Publisher: World Scientific Publishing Company Publication: September 18, 2015
Imprint: WSPC Language: English
Author: Tom Hyer
ISBN: 9789814699532
Publisher: World Scientific Publishing Company
Publication: September 18, 2015
Imprint: WSPC
Language: English

Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging tasks, and illustrates their use with several example trade types and models. Readers will learn to deploy the results of their research work with productivity-enhancing methods that are not taught elsewhere, including object serialization, code generation, and separation of concerns for continuous improvement. Of all the books on derivatives pricing, only Derivatives Algorithms shows the internals of a high-quality working library.

The new Second Edition is more accessible to readers who are not already familiar with the book's concepts; there is an increased focus on explaining the motivation for each step, and on providing a high-level perspective on design choices. The chapters on Persistence and Protocols have been substantially rewritten, providing motivating examples and additional detail in the code. The treatment of yield curves and funding has been modernized, with the increased sophistication required by today's markets. And a new final chapter, describing the next phase in the evolution of derivatives valuation and risk, has been added.

Contents:

  • Introduction
  • Principles
  • Types and Interfaces
  • Vector and Matrix Computations
  • Persistence and Memory
  • Testing Framework
  • Further Maths
  • Schedules
  • Indices
  • Pricing Protocols
  • Standardized Trades
  • Curves
  • Models
  • Semianalytic Pricers
  • Risk
  • Appendix: The Age of Stochastic Calculus

Readership: Practicing quants, financial IT professionals and financial engineers.
Key Features:

  • Unique focus on real-world implementation, not just mathematics of models

  • Detailed solutions to advanced issues in code-library design

  • Enhancements in the Second Edition:

  • All code examples have been substantially updated to fully exploit the power of the C++ 11 standard

    Special-purpose classes have been replaced with widely available alternatives

    The mark-up used in the book is fully compatible with the http://derivativesalgorithms.blogspot.com code generator

    All the code examples in the book, plus much more, are available online to purchasers

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging tasks, and illustrates their use with several example trade types and models. Readers will learn to deploy the results of their research work with productivity-enhancing methods that are not taught elsewhere, including object serialization, code generation, and separation of concerns for continuous improvement. Of all the books on derivatives pricing, only Derivatives Algorithms shows the internals of a high-quality working library.

The new Second Edition is more accessible to readers who are not already familiar with the book's concepts; there is an increased focus on explaining the motivation for each step, and on providing a high-level perspective on design choices. The chapters on Persistence and Protocols have been substantially rewritten, providing motivating examples and additional detail in the code. The treatment of yield curves and funding has been modernized, with the increased sophistication required by today's markets. And a new final chapter, describing the next phase in the evolution of derivatives valuation and risk, has been added.

Contents:

Readership: Practicing quants, financial IT professionals and financial engineers.
Key Features:

More books from World Scientific Publishing Company

Cover of the book Thin Films on Silicon by Tom Hyer
Cover of the book Introduction to Electricity and Magnetism by Tom Hyer
Cover of the book In Memory of Akira Tonomura by Tom Hyer
Cover of the book Psychological Capital by Tom Hyer
Cover of the book The Fence Methods by Tom Hyer
Cover of the book Recent Developments in Plasmon-Supported Raman Spectroscopy by Tom Hyer
Cover of the book Statistical Mechanics and the Physics of Many-Particle Model Systems by Tom Hyer
Cover of the book Introduction to Earth Sciences by Tom Hyer
Cover of the book Static and Dynamic Problems of Nanobeams and Nanoplates by Tom Hyer
Cover of the book Lessons from Nanoelectronics by Tom Hyer
Cover of the book Pioneers of Microbiology and the Nobel Prize by Tom Hyer
Cover of the book Nontariff Measures and International Trade by Tom Hyer
Cover of the book Frontiers in Electronics by Tom Hyer
Cover of the book Tan Kah-Kee by Tom Hyer
Cover of the book Building the H Bomb by Tom Hyer
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy