Derivatives algorithms. Volume 1, Bones / Tom Hyer.

Format:

Book

Author/Creator:

Hyer, Tom.

Language:

English

Subjects (All):

Derivative securities--Data processing.

Derivative securities.

Algorithms--Data processing.

Algorithms.

Physical Description:

1 online resource (320 p.)

Edition:

1st ed.

Place of Publication:

Singapore ; Hackensack, N.J. : World Scientific, c2010.

Language Note:

English

Summary:

""Derivatives Algorithms"" provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols tha

Contents:

Contents; 1. Introduction; 2. Principles; 3. Types and Interfaces; 4. Vector and Matrix Computations; 5. Persistence and Memory; 6. Testing Framework; 7. Further Maths; 8. Schedules; 9. Indices; 10. Pricing Protocols; 11. Standardized Trades; 12. Curves; 13. Models; 14. Semianalytic Pricers; 15. Risk; 16. Additional Code; 16. Acknowledgements and Further Reading; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612761751

9781282761759

1282761757

9789814289887

9814289884

OCLC:

681584903