Modern Computational Finance. AAD and Parallel Simulations
Description
Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.
Technical Details
age: | 0 |
author: | Antoine Savine |
genres_list: | 5662,239688 |
ISBN: | 9781119539544 |
lang: | en |
litres_isbn: | 978-5-04-473000-7 |
publisher: | John Wiley & Sons Limited |
Type: | book |
Форматы: |
Price history chart & currency exchange rate
Customers also viewed

14,420.31 руб.
В наличии игрушки-трансформеры Планеты X PX-C02B Звездный меч G1 Cadmus, шедевр, аниме модель KO, фигурка, коллекция игрушек, подарок
aliexpress.ru
94,045.52 руб.
6 + 128G Android 10,0 автомобильный для Dodge durango 2012-2019 радио GPS-навигация мультимедийный приемник плеер DSP Carplay головное устройство 2 Din
aliexpress.ru
12,803.78 руб.
Современный деревянный подъемный журнальный столик 47,5 дюйма с нижней полкой, эспрессо
aliexpress.ru
326.58 руб.
Strips Perfume Test Paper Tester Essential Oil Fragrance Aromatherapy Scents Blotter Testing Scent Sample Disposable Oils
aliexpress.ru
6,574.18 руб.
Turbo chra GT1749S Turbocharger Cartridge For Ssangyong Musso New (FJ) 2.3 TD WGT 454220-1 454220-5001S 702297-5002S 1998~2005
aliexpress.ru
6,051.98 руб.
Настольные лампы в виде динозавра Юрского периода для спальни, полимерный светодиодный светильник в виде бронтозавра T-Rex, декоративное освещение для дома
aliexpress.ru
6,647.85 руб.
Чехол на автомобильное сиденье для sain MG 6 Ruixing GT MG ZS Ruiteng MG3/5 Универсальный всесезонный
aliexpress.ru
2,320.44 руб.
Щетка для унитаза в скандинавском стиле, длинная Экологически чистая креативная подвесная щетка для туалета, настенное крепление
aliexpress.ru
899.53 руб.
Портативный дорожный набор Bebird A2, визуальный ушной чистящий стержень, отоскоп для удаления ушного воска, камера для захвата ушей, эндоскоп с камерой 1080P
aliexpress.ru
931.45 руб.
Sparkling Love Knot Charms for Women Silver 925 Original Snake Chain Bracelets Clear CZ Dangle Silver Charms for Jewelry Making
aliexpress.com
797.22 руб.
KBB Deformation Transformation Megatron Man Gift Pistol Version Assembling Toys Action Figure Building In Box
aliexpress.com
750.00 руб.
SEGMATIC SGSB4037 Ремень клиновой 13x1100, Renault Magnum II 98-, Ford Ranger 02-
goods.ru
2,588.91 руб.
Автомобильный задний двойной глушитель выхлопной трубы обшивка внутренняя отделка выхлопной трубы для Chery Jetour X70
aliexpress.ru
919.99 руб.
Topiaryartificial Boxwood Grass Hangingfaux Decorative Greenery Trees Plantssphere Eucalyptus Flower Decor Fake Tree Foliage
aliexpress.ru
9,105.34 руб.
european and american women's fashion v-neck solid color high waist hollow elegant sexy t-shirt top
fordeal.com
411.23 руб.
women's panties cute cotton underwear for 12 years old teenage girls 2021 japanese young teens mid-waist print comfortable thin soft, Black;pink
dhgate.com
2,284.65 руб.
Зимние берцы Армос из натуральной кожи, утепленные набивным мехом, бежевого цвета (размер 43), Бежевый
bigl.ua
1,215.83 руб.
Дисплей (экран) для Xiaomi Redmi 6/ Redmi 6A с сенсором/ тачскрином (модуль) белый
bigl.ua
69.53 руб.
Термоаппликация-накатка, наклейка на одежду Девочка с хлопьями 14х17 см., Разные цвета
bigl.ua
17.88 руб.
Астра хризантемовидная крымсон Принцесса 0,2 г семена пакетированные Leda Agro, Малиновый
bigl.ua
3,406.14 руб.
2019 autumn new canvas shoes female students korean style fashionable all-matching board shoes female ins fashionable retro korean biscuit shoes
fordeal.com
4,439.99 руб.
women's sweaters knitted pullover sweater lovely sweet stereoscopic bear female solid loose jumper o neck warm autumn winter, White;black
dhgate.com
90.85 руб.
LED Stage Lamp Moving Head Pinspot Beam Disco Clubs KTV Colorful Spotlights Mini Pinspot High Bright Stage Spotlight Effect
aliexpress.com