
Автор: Antoine Savine
Издательство: Wiley
ISBN: 1119539455
Год: 2018
Страниц: 592
Язык: английский
Формат: pdf (true)
Размер: 10.16 MB
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.
The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.