Principles

Tom Hyer

Chapter 2 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 5-16 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This is not a book about mathematical methods, nor does it explain any class of models in real detail. (For that purpose, consider the magnum opus of Leif Andersen and Vladimir Piterbarg, on Interest Rate Modeling.) Rather, it is an exposition of the methods needed to describe derivatives and structured financial products in a precise and flexible way, so that both their innate complexity and the complexity of the models for pricing and hedging them them can be controlled. Separation of concerns is a crucial part of this control, and one of our major aims is to demonstrate where this separation may best be accomplished. We also concentrate on the development of reusable components, so we can always understand a given program in terms of large and well-understood atoms; and on a style which encourages clear and concise expression of our intentions.

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
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