Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen

• Autore: Savine Antoine <1970->
• Pubblicazione: Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022]; ©2022
• Descrizione fisica: 1 online resource (288 pages)
• Disciplina: 332.015195
• Soggetto topico: Finance - Mathematical models; Finance - Data processing; Finance - Computer simulation
• Persona (resp. second.): AndreasenJesper
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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 -- 20.1.5 Discrete conditions -- 20.1.6 Putting it all together -- 20.2 Identification of condition domains -- 20.3 Constant expressions -- 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 -- Part V Application to xVA -- Chapter 23 xVA -- Chapter 24 Branching -- Chapter 25 Closing Remarks -- 25.1 Script examples -- 25.2 Multi‐threading and AAD -- 25.3 Advanced LSM optimizations -- Appendix A Parsing -- A.1 Preparing for parsing -- A.2 Parsing statements -- A.3 Recursively parsing conditions -- A.4 Recursively parsing expressions -- A.5 Performance -- Bibliography -- Index -- EULA.
• Sommario/riassunto: "Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Every derivatives valuation and risk system, either in-house or from external vendors, features at least some kind of scripting technology. Yet, the expertise in that field remains unwritten to date, without any article or publication dedicated to the subject. This book fills that gap"--
• Titolo autorizzato: Modern computational finance
• ISBN: 1-119-54081-X; 1-119-54079-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910798841203321
• Lo trovi qui: Univ. Federico II