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Derivatives algorithms: City of Light
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eBook
Derivatives algorithms: City of Light
2010
Overview
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.Sample Chapter(s)Chapter 1: Introduction (104 KB)Contents: PrinciplesTypes and InterfacesVector and Matrix ComputationsPersistence and MemoryTesting FrameworkFurther MathsSchedulesIndicesPricing ProtocolsStandardized TradesCurvesModelsSemianalytic PricersRiskAdditional CodeReadership: Practicing quants, financial IT professionals and financial engineers.
Publisher
World Scientific Publishing
Subject
ISBN
9789814289801, 9814289809
