Derivatives algorithms. Volume 1, Bones /

Mostrar otras versiones (1)

""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 libr...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Hyer, Tom
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore ; Hackensack, NJ : World Scientific, ©2010.
Temas:
Derivative securities > Data processing.
Algorithms > Data processing.
Instruments dérivés (Finances) > Informatique.
Algorithmes > Informatique.
BUSINESS & ECONOMICS > Investments & Securities > General.
Algorithms > Data processing
Acceso en línea:Texto completo

MARC

LEADER 00000cam a2200000 a 4500
001 EBOOKCENTRAL_ocn681584903
003 OCoLC
005 20240329122006.0
006 m o d
007 cr cnu---unuuu
008 101116s2010 si a ob 001 0 eng d
040 |a N$T  |b eng  |e pn  |c N$T  |d YDXCP  |d OCLCQ  |d E7B  |d EBLCP  |d OCLCQ  |d MHW  |d DEBSZ  |d OCLCQ  |d IDEBK  |d MERUC  |d OCLCQ  |d AZK  |d MYUTM  |d LOA  |d JBG  |d COCUF  |d MOR  |d PIFAG  |d ZCU  |d OCLCQ  |d U3W  |d OCLCF  |d STF  |d WRM  |d VNS  |d VTS  |d ICG  |d INT  |d AU@  |d OCLCQ  |d LEAUB  |d DKC  |d OCLCQ  |d UKCRE  |d BOL  |d VLY  |d AJS  |d OCLCQ  |d OCLCO  |d SFB  |d OCLCO  |d OCLCQ  |d OCLCO  |d OCLCL 
019 |a 694144342  |a 729020667  |a 764546282  |a 816583266  |a 961498376  |a 962567710  |a 966186034  |a 988430367  |a 991916111  |a 1037712316  |a 1038693315  |a 1058436239  |a 1114423687  |a 1153509260  |a 1162027377  |a 1241787716  |a 1290085290  |a 1300546657 
020 |a 9789814289887  |q (electronic bk.) 
020 |a 9814289884  |q (electronic bk.) 
020 |a 1282761757 
020 |a 9781282761759 
020 |a 9786612761751 
020 |a 661276175X 
020 |z 9789814289801 
020 |z 9814289809 
029 1 |a AU@  |b 000048827783 
029 1 |a AU@  |b 000053269635 
029 1 |a CHNEW  |b 000609412 
029 1 |a DEBBG  |b BV043132026 
029 1 |a DEBBG  |b BV044156340 
029 1 |a DEBSZ  |b 397097360 
029 1 |a DEBSZ  |b 421673850 
029 1 |a DEBSZ  |b 442816960 
029 1 |a NZ1  |b 13868812 
029 1 |a AU@  |b 000073139003 
035 |a (OCoLC)681584903  |z (OCoLC)694144342  |z (OCoLC)729020667  |z (OCoLC)764546282  |z (OCoLC)816583266  |z (OCoLC)961498376  |z (OCoLC)962567710  |z (OCoLC)966186034  |z (OCoLC)988430367  |z (OCoLC)991916111  |z (OCoLC)1037712316  |z (OCoLC)1038693315  |z (OCoLC)1058436239  |z (OCoLC)1114423687  |z (OCoLC)1153509260  |z (OCoLC)1162027377  |z (OCoLC)1241787716  |z (OCoLC)1290085290  |z (OCoLC)1300546657 
050 4 |a HG6024  |b .H94 2010eb 
072 7 |a BUS  |x 036000  |2 bisacsh 
082 0 4 |a 332.6457028551  |2 22 
049 |a UAMI 
100 1 |a Hyer, Tom. 
245 1 0 |a Derivatives algorithms.  |n Volume 1,  |p Bones /  |c Tom Hyer. 
246 3 0 |a Bones 
260 |a Singapore ;  |a Hackensack, NJ :  |b World Scientific,  |c ©2010. 
300 |a 1 online resource (xii, 306 pages) :  |b illustrations 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
340 |g polychrome.  |2 rdacc  |0 http://rdaregistry.info/termList/RDAColourContent/1003 
347 |a data file 
504 |a Includes bibliographical references and index. 
588 0 |a Print version record. 
520 |a ""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 tha 
505 0 |a 1. Introduction -- 2. Principles. 2.1. Our code. 2.2. Functional programming. 2.3. Type and state. 2.4. Physical code structure. 2.5. Platform. 2.6. Some design patterns. 2.7. Optimization. 2.8. Threads -- 3. Types and interfaces. 3.1. The user base. 3.2. A public example. 3.3. Interface generation. 3.4. Interface types. 3.5. Interface code. 3.6. Other containers. 3.7. Environment. 3.8. Enumerated types -- 4. Vector and matrix computations. 4.1. Customizing vectors. 4.2. Algorithms. 4.3. Matrices and square matrices. 4.4. Matrix multiplication. 4.5. Decompositions (square). 4.6. Decompositions (symmetric). 4.7. Decompositions (sparse). 4.8. Decompositions (other) -- 5. Persistence and memory. 5.1. Storage. 5.2. Extraction. 5.3. Rebuilding. 5.4. Code generation. 5.5. A display interface. 5.6. Auditing. 5.7. More on repositories -- 6. Testing framework. 6.1. Component tests. 6.2. Regression tests. 6.3. No silver bullet -- 7. Further maths. 7.1. Interpolation. 7.2. Special functions. 7.3. Root solvers. 7.4. Underdetermined search. 7.5. Quadrature. 7.6. Distributions. 7.7. Baskets. 7.8. Random and quasi-random numbers. 7.9. PDE solvers. 7.10. American Monte Carlo -- 8. Schedules. 8.1. Enumerated switches. 8.2. Holidays. 8.3. Currencies. 8.4. Increments. 8.5. Legs -- 9. Indices. 9.1. Naming and parsing. 9.2. Fixings. 9.3. Sorting and hashing. 9.4. Implied vol -- 10. Pricing protocols. 10.1. Past and future. 10.2. Underlyings. 10.3. Payments and streams. 10.4. Index paths. 10.5. Defaults and contingent payments. 10.6. Requests and promises. 10.7. Bemudans and barriers. 10.8. Payouts. 10.9. Steps. 10.10. Use case review : PDE. 10.11. Use case review : Monte Carlo and hedge. 10.12. Costs and benefits. 10.13. Assembling the class hierarchy -- 11. Standardized trades. 11.1. Trade classes. 11.2. Cash. 11.3. Equity and FX. 11.4. Legs and swaps. 11.5. Caps. 11.6. Swaps and swaptions. 11.7. Bermudans. 11.8. Composites -- 12. Curves. 12.1. Risk. 12.2. Libor and funding. 12.3. Build instruments. 12.4. Dividend. 12.5. Hazard -- 13. Models. 13.1. Vasicek-Hull-White. 13.2. Interface to numerical pricing. 13.3. Interface to valuation requests. 13.4. Cox-Ingersoll-Ross. 13.5. Black-Karasinski. 13.6. Single equity with local vol. 13.7. A simple hybrid model -- 14. Semianalytic pricers. 14.1. A moment-matching pricer. 14.2. Multimethod objects. 14.3. Method registry. 14.4. Interaction with re-evaluator. 14.5. Interaction with composites. 14.6. Pure pricers. 14.7. Trade-dependent calibration -- 15. Risk. 15.1. Slides and bumps. 15.2. Mutants. 15.3. Reports. 15.4. Portfolios. 15.5. Tasks. 15.6. Slide utilities. 15.7. Conclusions -- 16. Additional code. 16.1. Add multiple. 16.2. Arrayfunctor. 16.3. Boolean. 16.4. Composite. 16.5. Cube. 16.6. Handle. 16.7. Matrix. 16.8. Maybe. 16.9. PWC (piecewise constant). 16.10. Vector -- 16. Acknowledgements and further reading. 
546 |a English. 
590 |a ProQuest Ebook Central  |b Ebook Central Academic Complete 
590 |a eBooks on EBSCOhost  |b EBSCO eBook Subscription Academic Collection - Worldwide 
650 0 |a Derivative securities  |x Data processing. 
650 0 |a Algorithms  |x Data processing. 
650 6 |a Instruments dérivés (Finances)  |x Informatique. 
650 6 |a Algorithmes  |x Informatique. 
650 7 |a BUSINESS & ECONOMICS  |x Investments & Securities  |x General.  |2 bisacsh 
650 7 |a Algorithms  |x Data processing  |2 fast 
758 |i has work:  |a Derivatives algorithms Volume 1 Bones (Text)  |1 https://id.oclc.org/worldcat/entity/E39PCGxHp3pbvYmT6hPXWthDYP  |4 https://id.oclc.org/worldcat/ontology/hasWork 
776 0 8 |i Print version:  |a Hyer, Tom.  |t Derivatives algorithms. Volume 1, Bones.  |d Singapore ; Hackensack, NJ : World Scientific, ©2010  |z 9789814289801  |w (OCoLC)619946416 
856 4 0 |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=731277  |z Texto completo 
938 |a EBL - Ebook Library  |b EBLB  |n EBL731277 
938 |a ebrary  |b EBRY  |n ebr10422649 
938 |a EBSCOhost  |b EBSC  |n 340778 
938 |a ProQuest MyiLibrary Digital eBook Collection  |b IDEB  |n 276175 
938 |a YBP Library Services  |b YANK  |n 3511517 
994 |a 92  |b IZTAP 

Ejemplares similares