Antoine Savine - Modern Computational Finance
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- Название:Modern Computational Finance
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Modern Computational Finance: краткое содержание, описание и аннотация
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quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA).
Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers:
Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts,
: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.
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Table of Contents
1 Cover
2 Title Page Modern Computational Finance Scripting for Derivatives and xVA ANTOINE SAVINE AND JESPER ANDREASEN
3 Copyright
4 My Life in Script by Jesper Andreasen
5 PART I: A Scripting Library in C++ Introduction CHAPTER 1: Opening RemarksINTRODUCTION 1.1 SCRIPTING IS NOT ONLY FOR EXOTICS 1.2 SCRIPTING IS FOR CASH‐FLOWS NOT PAYOFFS 1.3 SIMULATION MODELS 1.4 PRE‐PROCESSING 1.5 VISITORS 1.6 MODERN IMPLEMENTATION IN C++ 1.7 SCRIPT TEMPLATES NOTES CHAPTER 2: Expression Trees 2.1 IN THEORY 2.2 IN CODE NOTE CHAPTER 3: Visitors3.1 THE VISITOR PATTERN 3.2 THE DEBUGGER VISITOR 3.3 THE VARIABLE INDEXER 3.4 PRE‐PROCESSORS 3.5 CONST VISITORS 3.6 THE EVALUATOR 3.7 COMMUNICATING WITH MODELS NOTES CHAPTER 4: Putting Scripting Together with a Model4.1 A SIMPLISTIC BLACK‐SCHOLES MONTE‐CARLO SIMULATOR 4.2 CONNECTING THE MODEL TO THE SCRIPTING FRAMEWORK NOTES CHAPTER 5: Core Extensions and the “Pays” Keyword 5.1 IN THEORY 5.2 IN CODE NOTE
6 PART II: Basic Improvements Introduction CHAPTER 6: Past Evaluator CHAPTER 7: Macros CHAPTER 8: Schedules of Cash‐Flows CHAPTER 9: Support for Dates NOTE CHAPTER 10: Predefined Schedules and Functions CHAPTER 11: Support for Vectors 11.1 BASIC FUNCTIONALITY 11.2 ADVANCED FUNCTIONALITY
7 PART III: Advanced Improvements Introduction CHAPTER 12: Linear Products 12.1 INTEREST RATES AND SWAPS 12.2 EQUITIES, FOREIGN EXCHANGE, AND COMMODITIES 12.3 LINEAR MODEL IMPLEMENTATION CHAPTER 13: Fixed Income Instruments 13.1 DELAYED PAYMENTS 13.2 DISCOUNT FACTORS 13.3 THE SIMULATED DATA PROCESSOR 13.4 INDEXING 13.5 UPGRADING “PAYS” TO SUPPORT DELAYED PAYMENTS 13.6 ANNUITIES 13.7 FORWARD DISCOUNT FACTORS 13.8 BACK TO EQUITIES 13.9 LIBOR AND RATE FIXINGS 13.10 SCRIPTS FOR SWAPS AND OPTIONS CHAPTER 14: Multiple Underlying Assets14.1 MULTIPLE ASSETS 14.2 MULTIPLE CURRENCIES CHAPTER 15: American Monte‐Carlo 15.1 LEAST SQUARES METHOD 15.2 ONE PROXY 15.3 ADDITIONAL REGRESSION VARIABLES 15.4 FEEDBACK AND EXERCISE 15.5 MULTIPLE EXERCISE AND RECURSION NOTES
8 PART IV: Fuzzy Logic and Risk Sensitivities Introduction CHAPTER 16: Risk Sensitivities with Monte‐Carlo16.1 RISK INSTABILITIES 16.2 TWO APPROACHES TOWARD A SOLUTION 16.3 SMOOTHING FOR DIGITALS AND BARRIERS 16.4 SMOOTHING FOR SCRIPTED TRANSACTIONS NOTE CHAPTER 17: Support for Smoothing CHAPTER 18: An Automated Smoothing Algorithm 18.1 BASIC ALGORITHM 18.2 NESTED AND COMBINED CONDITIONS 18.3 AFFECTED VARIABLES 18.4 FURTHER OPTIMIZATION NOTE CHAPTER 19: Fuzzy Logic NOTE CHAPTER 20: Condition Domains 20.1 FUZZY EVALUATION OF DISCRETE CONDITIONS 20.2 IDENTIFICATION OF CONDITION DOMAINS 20.3 CONSTANT EXPRESSIONS NOTE CHAPTER 21: Limitations 21.1 DEAD AND ALIVE 21.2 NON‐LINEAR USE OF FUZZY VARIABLES CHAPTER 22: The Smoothing Factor 22.1 SCRIPTING SUPPORT 22.2 AUTOMATIC DETERMINATION
9 PART V: Application to xVA CHAPTER 23: xVA NOTE CHAPTER 24: Branching CHAPTER 25: Closing Remarks 25.1 SCRIPT EXAMPLES 25.2 MULTI‐THREADING AND AAD 25.3 ADVANCED LSM OPTIMIZATIONS
10 APPENDIX A: ParsingA.1 PREPARING FOR PARSING A.2 PARSING STATEMENTS A.3 RECURSIVELY PARSING CONDITIONS A.4 RECURSIVELY PARSING EXPRESSIONS A.5 PERFORMANCE NOTES
11 Bibliography
12 Index
13 End User License Agreement
Guide
1 Cover Page
2 Table of Contents
3 Title Page Modern Computational Finance Scripting for Derivatives and xVA ANTOINE SAVINE AND JESPER ANDREASEN
4 Copyright
5 Begin Reading
6 Appendix A Parsing
7 Bibliography
8 Index
9 End User License Agreement
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Modern Computational Finance
Scripting for Derivatives and xVA
ANTOINE SAVINE AND JESPER ANDREASEN
Copyright © 2022 by John Wiley & Sons, Inc. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per‐copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750‐8400, fax (978) 750‐4470, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748‐6011, fax (201) 748‐6008, or online at http://www.wiley.com/go/permission.
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