Modern computational finance : scripting for derivatives and xVA

"Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Every derivatives valuation and risk system, either in-house or from external vendors, features at least some kind of scripting technology. Yet, the expertise in that field remains unwritten t...

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Bibliographic Details
Main Authors Savine, Antoine, Andreasen, Jesper
Format eBook Book
LanguageEnglish
Published Hoboken, N.J Wiley 2022
John Wiley & Sons, Incorporated
Wiley-Blackwell
Edition1
Subjects
Automatic differentiation
Datenverarbeitung
Derivat
Finance
Finance > Computer simulation
Finance > Data processing
Finance > Mathematical models
Finanzmathematik
Online AccessGet full text
ISBN9781119540786
111954078X

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Summary:"Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Every derivatives valuation and risk system, either in-house or from external vendors, features at least some kind of scripting technology. Yet, the expertise in that field remains unwritten to date, without any article or publication dedicated to the subject. This book fills that gap"--
Bibliography:Includes bibliographical references (p. 255-256) and index
Other title from jacket
ISBN:9781119540786
111954078X