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OCoLC |
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20240329122006.0 |
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m o d |
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211113s2021 xx o ||| 0 eng d |
| 040 |
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|a EBLCP
|b eng
|c EBLCP
|d OCLCQ
|d REDDC
|d OCLCO
|d OCLCL
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| 019 |
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|a 1283846685
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| 020 |
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|a 9781119540793
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|a 1119540798
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| 035 |
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|a (OCoLC)1285169849
|z (OCoLC)1283846685
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| 050 |
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4 |
|a HG106
|b .S285 2022
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| 082 |
0 |
4 |
|a 332.01/5195
|q OCoLC
|2 23/eng/20231120
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| 049 |
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|a UAMI
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| 100 |
1 |
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|a Savine, Antoine.
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| 245 |
1 |
0 |
|a Modern Computational Finance
|h [electronic resource] :
|b Scripting for Derivatives and XVA.
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| 260 |
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|a Newark :
|b John Wiley & Sons, Incorporated,
|c 2021.
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| 300 |
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|a 1 online resource (288 p.)
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| 500 |
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|a Description based upon print version of record.
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| 505 |
0 |
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|a Cover -- Title Page -- Copyright Page -- Contents -- My Life in Script by Jesper Andreasen -- Part I A Scripting Library in C++ -- Introduction -- Chapter 1 Opening Remarks -- Introduction -- 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 -- Chapter 2 Expression Trees -- 2.1 In theory -- 2.2 In code -- Chapter 3 Visitors -- 3.1 The visitor pattern -- 3.2 The debugger visitor -- 3.3 The variable indexer -- 3.4 Pre-processors
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| 505 |
8 |
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|a 3.5 Const visitors -- 3.6 The evaluator -- 3.7 Communicating with models -- Chapter 4 Putting Scripting Together with a Model -- 4.1 A simplistic Black-Scholes Monte-Carlo simulator -- 4.1.1 Random number generators -- 4.1.2 Simulation models -- 4.1.3 Simulation engines -- 4.2 Connecting the model to the scripting framework -- Chapter 5 Core Extensions and the "Pays" Keyword -- 5.1 In theory -- 5.2 In code -- Part II Basic Improvements -- Introduction -- Chapter 6 Past Evaluator -- Chapter 7 Macros -- Chapter 8 Schedules of Cash-Flows -- Chapter 9 Support for Dates
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|a Chapter 10 Predefined Schedules and Functions -- Chapter 11 Support for Vectors -- 11.1 Basic functionality -- 11.2 Advanced functionality -- 11.2.1 New node types -- 11.2.2 Support in the parser -- 11.2.3 Processing -- 11.2.4 Evaluation -- 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
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| 505 |
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|a 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 Assets -- 14.1 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 -- Part IV Fuzzy Logic and Risk Sensitivities -- Introduction -- Chapter 16 Risk Sensitivities with Monte-Carlo
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| 505 |
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|a 16.1 Risk instabilities -- 16.2 Two approaches toward a solution -- 16.3 Smoothing for digitals and barriers -- 16.4 Smoothing for scripted transactions -- 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 -- Chapter 19 Fuzzy Logic -- Chapter 20 Condition Domains -- 20.1 Fuzzy evaluation of discrete conditions -- 20.1.1 Condition domains -- 20.1.2 Constant conditions -- 20.1.3 Boolean conditions -- 20.1.4 Binary conditions
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| 500 |
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|a 20.1.5 Discrete conditions.
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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0 |
|a Finance
|x Computer simulation.
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| 650 |
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0 |
|a Finance
|x Data processing.
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| 650 |
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0 |
|a Finance
|x Mathematical models.
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| 650 |
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6 |
|a Finances
|x Simulation par ordinateur.
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| 650 |
|
6 |
|a Finances
|x Informatique.
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| 650 |
|
6 |
|a Finances
|x Modèles mathématiques.
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| 700 |
1 |
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|a Andreasen, Jesper.
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| 758 |
|
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|i has work:
|a Modern computational finance (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCFpKPpdXTQYbb73jGgtD7b
|4 https://id.oclc.org/worldcat/ontology/hasWork
|
| 776 |
0 |
8 |
|i Print version:
|a Savine, Antoine
|t Modern Computational Finance
|d Newark : John Wiley & Sons, Incorporated,c2021
|z 9781119540786
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=6795952
|z Texto completo
|
| 938 |
|
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|a ProQuest Ebook Central
|b EBLB
|n EBL6795952
|
| 994 |
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|a 92
|b IZTAP
|
