Derivatives Algorithms:Volume 1: Bones

Tom Hyer

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

Abstract: Derivatives Algorithms — Volume 1: Bones (Second Edition)

Keywords: Derivatives; Quantitative; Numerical; Code Generation; C++; C++11; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Extensibility (search for similar items in EconPapers)
Date: 2015
ISBN: 9789814699518
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Chapters in this book:

Ch 1 Introduction , pp 1-3

Tom Hyer

Ch 2 Principles , pp 5-16

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Ch 3 Types and Interfaces , pp 17-46

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Ch 4 Vector and Matrix Computations , pp 47-69

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Ch 5 Persistence and Memory , pp 71-96

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Ch 6 Testing Framework , pp 97-101

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Ch 7 Further Maths , pp 103-145

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Ch 8 Schedules , pp 147-172

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Ch 9 Indices , pp 173-181

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Ch 10 Pricing Protocols , pp 183-223

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Ch 11 Standardized Trades , pp 225-256

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Ch 12 Curves , pp 257-265

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Ch 13 Models , pp 267-294

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Ch 14 Semianalytic Pricers , pp 295-305

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Ch 15 Risk , pp 307-315

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Ch 16 Appendix: The Age of Stochastic Calculus , pp 317-323

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