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Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen
| Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen |
| Autore | Savine Antoine <1970-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] |
| Descrizione fisica | 1 online resource (288 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Finance - Data processing Finance - Computer simulation |
| ISBN |
1-119-54081-X
1-119-54079-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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. |
| Record Nr. | UNINA-9910798841203321 |
Savine Antoine <1970->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen
| Modern computational finance : scripting for derivatives and XVA / / Antoine Savine, Jesper Andreasen |
| Autore | Savine Antoine <1970-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] |
| Descrizione fisica | 1 online resource (288 pages) |
| Disciplina | 332.015195 |
| Soggetto topico |
Finance - Mathematical models
Finance - Data processing Finance - Computer simulation |
| ISBN |
1-119-54081-X
1-119-54079-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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. |
| Record Nr. | UNINA-9910809880203321 |
|
Savine Antoine <1970->
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||