Modern Computational Finance: Scripting for Derivatives and xVA

Drs. Antoine Savine and Jesper Andreasen provide an essential guide to building a complete system for derivative scripting in Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA. It demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations, and offers effective strategies for improving scripting libraries. It also explores the concepts of fuzzy logic and risk sensitivities and discusses the application of scripting to xVA.

Format: Hardback
Length: 288 pages
Publication date: 20 December 2021
Publisher: John Wiley & Sons Inc

In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, esteemed quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen provide an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash flows in diverse ways. The book showcases how to facilitate portfolio-wide risk assessment and regulatory calculations (such as xVA). Accompanied by a professional scripting library written in modern C++, this standalone volume guides readers through the construction of a comprehensive risk and valuation tool. This essential book also offers:
Effective strategies for improving scripting libraries, ranging 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 condition domains
Discussion of the application of scripting to xVA, complete with a full treatment of branching
Ideal for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master's and PhD finance programs.

Weight: 586g
Dimension: 161 x 240 x 21 (mm)
ISBN-13: 9781119540786