Modern Computational Finance Scripting for Derivatives and XVA.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Savine, Antoine
Otros Autores: Andreasen, Jesper
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Newark : John Wiley & Sons, Incorporated, 2021.
Temas:
Finance > Computer simulation.
Finance > Data processing.
Finance > Mathematical models.
Finances > Simulation par ordinateur.
Finances > Informatique.
Finances > Modèles mathématiques.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • 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
  • 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
  • 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
  • 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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