Modern Computational Finance: Scripting for Derivatives and xVA
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Modern Computational Finance: Scripting for Deriva...

Author: Antoine Savine Jesper Andreasen
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ISBN: 9781119540786

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An incisive and essential guide to building a complete system for derivative scriptingIn Volume 2 of Modern Computationa...
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An incisive and essential guide to building a complete system for derivative scriptingIn Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, 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

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