Derivatives Algorithms:Volume 1: Bones

Tom Hyer
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Tom Hyer: UBS, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: Derivatives Algorithms

Keywords: Derivatives; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Code Generation; Extensibility (search for similar items in EconPapers)
Date: 2010
ISBN: 9789814289801
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Chapters in this book:

Ch 1 Introduction , pp 1-2

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Ch 2 Principles , pp 3-11

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Ch 3 Types and Interfaces , pp 13-35

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Ch 4 Vector and Matrix Computations , pp 37-57

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Ch 5 Persistence and Memory , pp 59-90

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Ch 6 Testing Framework , pp 91-96

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Ch 7 Further Maths , pp 97-137

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Ch 8 Schedules , pp 139-163

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Ch 9 Indices , pp 165-173

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Ch 10 Pricing Protocols , pp 175-208

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Ch 11 Standardized Trades , pp 209-236

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Ch 12 Curves , pp 237-243

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Ch 13 Models , pp 245-272

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Ch 14 Semianalytic Pricers , pp 273-282

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Ch 15 Risk , pp 283-290

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Ch 16 Additional Code , pp 291-299

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