Standardized Trades

Tom Hyer

Chapter 11 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 225-256 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The fastest way to understand the protocols for numerical pricing is to look at a few trades, which of course will implement these protocols. We will return to pricing in those special cases where a closed form is available, in Ch. 14.

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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