Modern Computational Finance, 9781119539452
Hardcover
Unlock financial risk secrets: Master AAD, the core of modern finance.

Modern Computational Finance

aad and parallel simulations

$236.47

  • Hardcover

    592 pages

  • Release Date

    20 November 2018

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Summary

Modern Computational Finance: Algorithmic Adjoint Differentiation Explained

Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware.

AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals o…

Book Details

ISBN-13:9781119539452
ISBN-10:1119539455
Author:Antoine Savine, Leif Andersen
Publisher:John Wiley & Sons Inc
Imprint:John Wiley & Sons Inc
Format:Hardcover
Number of Pages:592
Release Date:20 November 2018
Weight:907g
Dimensions:234mm x 158mm x 38mm
About The Author

Antoine Savine

ANTOINE SAVINE is a mathematician and derivatives practitioner with leading investment banks. After globally running quantitative research in a major French bank for ten years, Antoine joined Jesper Andreasen to participate in the development of Danske Bank’s award winning systems. Antoine also lectures in the University of Copenhagen’s Masters of Science in Mathematics-Economics program, on topics including volatility modeling and numerical finance, for which this book is the curriculum. Antoine holds a Masters in Mathematics from the University of Paris-Jussieu and a PhD in Mathematics from the University of Copenhagen. He is best known for his work on volatility, multi-factor interest rate models, scripting, AAD and parallel Monte-Carlo. His computational finance books combine the unique insight of a leading practitioner with the rigor and pedagogy of an accomplished lecturer.

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