Derivatives algorithms, V. 1, Bones:
"Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricin...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Publishing Co. Pte. Ltd.
c2016
|
| Ausgabe: | 2nd ed |
| Schlagworte: | |
| Online-Zugang: | FHN01 Volltext |
| Zusammenfassung: | "Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging tasks, and illustrates their use with several example trade types and models. Readers will learn to deploy the results of their research work with productivity-enhancing methods that are not taught elsewhere, including object serialization, code generation, and separation of concerns for continuous improvement. Of all the books on derivatives pricing, only Derivatives Algorithms shows the internals of a high-quality working library. The new Second Edition is more accessible to readers who are not already familiar with the book's concepts; there is an increased focus on explaining the motivation for each step, and on providing a high-level perspective on design choices. The chapters on Persistence and Protocols have been substantially rewritten, providing motivating examples and additional detail in the code. The treatment of yield curves and funding has been modernized, with the increased sophistication required by today's markets. And a new final chapter, describing the next phase in the evolution of derivatives valuation and risk, has been added."-- |
| Beschreibung: | Title from PDF file title page (viewed November 13, 2015) |
| Beschreibung: | 1 online resource (xiv, 331 p.) ill |
| ISBN: | 9789814699525 |
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| 500 | |a Title from PDF file title page (viewed November 13, 2015) | ||
| 520 | |a "Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging tasks, and illustrates their use with several example trade types and models. Readers will learn to deploy the results of their research work with productivity-enhancing methods that are not taught elsewhere, including object serialization, code generation, and separation of concerns for continuous improvement. Of all the books on derivatives pricing, only Derivatives Algorithms shows the internals of a high-quality working library. The new Second Edition is more accessible to readers who are not already familiar with the book's concepts; there is an increased focus on explaining the motivation for each step, and on providing a high-level perspective on design choices. The chapters on Persistence and Protocols have been substantially rewritten, providing motivating examples and additional detail in the code. The treatment of yield curves and funding has been modernized, with the increased sophistication required by today's markets. And a new final chapter, describing the next phase in the evolution of derivatives valuation and risk, has been added."-- | ||
| 650 | 4 | |a Derivative securities / Data processing | |
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Datensatz im Suchindex
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| author | Hyer, Tom |
| author_facet | Hyer, Tom |
| author_role | aut |
| author_sort | Hyer, Tom |
| author_variant | t h th |
| building | Verbundindex |
| bvnumber | BV044640744 |
| collection | ZDB-124-WOP |
| ctrlnum | (ZDB-124-WOP)00009686 (OCoLC)988733219 (DE-599)BVBBV044640744 |
| dewey-full | 332.64/57028551 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57028551 |
| dewey-search | 332.64/57028551 |
| dewey-sort | 3332.64 857028551 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2nd ed |
| format | Electronic eBook |
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| id | DE-604.BV044640744 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:57:58Z |
| institution | BVB |
| isbn | 9789814699525 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030038715 |
| oclc_num | 988733219 |
| open_access_boolean | |
| owner | DE-92 |
| owner_facet | DE-92 |
| physical | 1 online resource (xiv, 331 p.) ill |
| psigel | ZDB-124-WOP ZDB-124-WOP FHN_PDA_WOP |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | World Scientific Publishing Co. Pte. Ltd. |
| record_format | marc |
| spelling | Hyer, Tom Verfasser aut Derivatives algorithms, V. 1, Bones Tom Hyer Bones 2nd ed Singapore World Scientific Publishing Co. Pte. Ltd. c2016 1 online resource (xiv, 331 p.) ill txt rdacontent c rdamedia cr rdacarrier Title from PDF file title page (viewed November 13, 2015) "Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging tasks, and illustrates their use with several example trade types and models. Readers will learn to deploy the results of their research work with productivity-enhancing methods that are not taught elsewhere, including object serialization, code generation, and separation of concerns for continuous improvement. Of all the books on derivatives pricing, only Derivatives Algorithms shows the internals of a high-quality working library. The new Second Edition is more accessible to readers who are not already familiar with the book's concepts; there is an increased focus on explaining the motivation for each step, and on providing a high-level perspective on design choices. The chapters on Persistence and Protocols have been substantially rewritten, providing motivating examples and additional detail in the code. The treatment of yield curves and funding has been modernized, with the increased sophistication required by today's markets. And a new final chapter, describing the next phase in the evolution of derivatives valuation and risk, has been added."-- Derivative securities / Data processing Algorithms / Data processing http://www.worldscientific.com/worldscibooks/10.1142/9686#t=toc Verlag URL des Erstveroeffentlichers Volltext |
| spellingShingle | Hyer, Tom Derivatives algorithms, V. 1, Bones Derivative securities / Data processing Algorithms / Data processing |
| title | Derivatives algorithms, V. 1, Bones |
| title_alt | Bones |
| title_auth | Derivatives algorithms, V. 1, Bones |
| title_exact_search | Derivatives algorithms, V. 1, Bones |
| title_full | Derivatives algorithms, V. 1, Bones Tom Hyer |
| title_fullStr | Derivatives algorithms, V. 1, Bones Tom Hyer |
| title_full_unstemmed | Derivatives algorithms, V. 1, Bones Tom Hyer |
| title_short | Derivatives algorithms, V. 1, Bones |
| title_sort | derivatives algorithms v 1 bones |
| topic | Derivative securities / Data processing Algorithms / Data processing |
| topic_facet | Derivative securities / Data processing Algorithms / Data processing |
| url | http://www.worldscientific.com/worldscibooks/10.1142/9686#t=toc |
| work_keys_str_mv | AT hyertom derivativesalgorithmsv1bones AT hyertom bones |