The Journal Of Computational Finance

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Tools for Computational Finance

Author : Rüdiger U. Seydel
Publisher : Springer Science & Business Media
ISBN 13 : 1447129938
Total Pages : 440 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Tools for Computational Finance by : Rüdiger U. Seydel

Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2012-03-09 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Handbook of Computational Finance

Author : Jin-Chuan Duan
Publisher : Springer Science & Business Media
ISBN 13 : 3642172547
Total Pages : 791 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Handbook of Computational Finance by : Jin-Chuan Duan

Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Computational Finance

Author : Argimiro Arratia
Publisher : Springer Science & Business Media
ISBN 13 : 9462390703
Total Pages : 305 pages
Book Rating : 4.4/5 (623 download)

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Book Synopsis Computational Finance by : Argimiro Arratia

Download or read book Computational Finance written by Argimiro Arratia and published by Springer Science & Business Media. This book was released on 2014-05-08 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.

Computational Finance and Its Applications III

Author : M. Costantino
Publisher : WIT Press
ISBN 13 : 1845641116
Total Pages : 257 pages
Book Rating : 4.8/5 (456 download)

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Book Synopsis Computational Finance and Its Applications III by : M. Costantino

Download or read book Computational Finance and Its Applications III written by M. Costantino and published by WIT Press. This book was released on 2008 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring papers from the Third International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as modern financial services technologies, derivatives pricing, portfolio management and asset allocation, and intelligent trading agents.

Computational Finance 1999

Author : Yaser S. Abu-Mostafa
Publisher : MIT Press
ISBN 13 : 9780262511070
Total Pages : 744 pages
Book Rating : 4.5/5 (11 download)

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Book Synopsis Computational Finance 1999 by : Yaser S. Abu-Mostafa

Download or read book Computational Finance 1999 written by Yaser S. Abu-Mostafa and published by MIT Press. This book was released on 2000 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.

Computational Methods for Quantitative Finance

Author : Norbert Hilber
Publisher : Springer Science & Business Media
ISBN 13 : 3642354017
Total Pages : 301 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Computational Methods for Quantitative Finance by : Norbert Hilber

Download or read book Computational Methods for Quantitative Finance written by Norbert Hilber and published by Springer Science & Business Media. This book was released on 2013-02-15 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.

A Workout in Computational Finance, with Website

Author : Andreas Binder
Publisher : John Wiley & Sons
ISBN 13 : 1119971918
Total Pages : 341 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis A Workout in Computational Finance, with Website by : Andreas Binder

Download or read book A Workout in Computational Finance, with Website written by Andreas Binder and published by John Wiley & Sons. This book was released on 2013-09-23 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem.

Applied Quantitative Finance

Author : Wolfgang Karl Härdle
Publisher : Springer
ISBN 13 : 3662544865
Total Pages : 372 pages
Book Rating : 4.6/5 (625 download)

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Book Synopsis Applied Quantitative Finance by : Wolfgang Karl Härdle

Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer. This book was released on 2017-08-02 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.

Quantitative Finance

Author : Erik Schlogl
Publisher : CRC Press
ISBN 13 : 1315359855
Total Pages : 356 pages
Book Rating : 4.3/5 (153 download)

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Book Synopsis Quantitative Finance by : Erik Schlogl

Download or read book Quantitative Finance written by Erik Schlogl and published by CRC Press. This book was released on 2018-09-03 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

Foundations of Computational Finance with MATLAB

Author : Ed McCarthy
Publisher : John Wiley & Sons
ISBN 13 : 1119433851
Total Pages : 375 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Foundations of Computational Finance with MATLAB by : Ed McCarthy

Download or read book Foundations of Computational Finance with MATLAB written by Ed McCarthy and published by John Wiley & Sons. This book was released on 2018-06-13 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Graduate from Excel to MATLAB® to keep up with the evolution of finance data Foundations of Computational Finance with MATLAB® is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today’s analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset. This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB’s capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data sources, communicate graphically, and more. Master MATLAB’s basic operations including matrices, arrays, and flexible data structures Learn how to build your own customized solutions when the built-ins just won’t do Learn how to handle financial data and industry-specific variables including risk and uncertainty Adopt more accurate modeling practices for portfolios, options, time series, and more MATLAB is an integrated development environment that includes everything you need in one well-designed user interface. Available Toolboxes provide tested algorithms that save you hours of code, and the skills you learn using MATLAB make it easier to learn additional languages if you choose to do so. Financial firms are catching up to universities in MATLAB usage, so this is skill set that will follow you throughout your career. When you’re ready to step into the new age of finance, Foundations of Computational Finance with MATLAB provides the expert instruction you need to get started quickly.

An Introduction to Computational Finance

Author : mr U?ur
Publisher : Imperial College Press
ISBN 13 : 1848161921
Total Pages : 315 pages
Book Rating : 4.8/5 (481 download)

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Book Synopsis An Introduction to Computational Finance by : mr U?ur

Download or read book An Introduction to Computational Finance written by mr U?ur and published by Imperial College Press. This book was released on 2009 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will hopefully help readers improve their mathematical and computational backgrounds for more advanced topics.Errata(s)Errata

Modern Computational Finance

Author : Antoine Savine
Publisher : John Wiley & Sons
ISBN 13 : 1119539455
Total Pages : 592 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Modern Computational Finance by : Antoine Savine

Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2018-11-20 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.

Implementing Models in Quantitative Finance: Methods and Cases

Author : Gianluca Fusai
Publisher : Springer Science & Business Media
ISBN 13 : 3540499598
Total Pages : 606 pages
Book Rating : 4.5/5 (44 download)

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Book Synopsis Implementing Models in Quantitative Finance: Methods and Cases by : Gianluca Fusai

Download or read book Implementing Models in Quantitative Finance: Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Numerical Methods in Computational Finance

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1119719674
Total Pages : 551 pages
Book Rating : 4.1/5 (197 download)

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Book Synopsis Numerical Methods in Computational Finance by : Daniel J. Duffy

Download or read book Numerical Methods in Computational Finance written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2022-03-21 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users. Part A Mathematical Foundation for One-Factor Problems Chapters 1 to 7 introduce the mathematical and numerical analysis concepts that are needed to understand the finite difference method and its application to computational finance. Part B Mathematical Foundation for Two-Factor Problems Chapters 8 to 13 discuss a number of rigorous mathematical techniques relating to elliptic and parabolic partial differential equations in two space variables. In particular, we develop strategies to preprocess and modify a PDE before we approximate it by the finite difference method, thus avoiding ad-hoc and heuristic tricks. Part C The Foundations of the Finite Difference Method (FDM) Chapters 14 to 17 introduce the mathematical background to the finite difference method for initial boundary value problems for parabolic PDEs. It encapsulates all the background information to construct stable and accurate finite difference schemes. Part D Advanced Finite Difference Schemes for Two-Factor Problems Chapters 18 to 22 introduce a number of modern finite difference methods to approximate the solution of two factor partial differential equations. This is the only book we know of that discusses these methods in any detail. Part E Test Cases in Computational Finance Chapters 23 to 26 are concerned with applications based on previous chapters. We discuss finite difference schemes for a wide range of one-factor and two-factor problems. This book is suitable as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics have applications to numerical analysis, science and engineering. More on computational finance and the author’s online courses, see www.datasim.nl.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Author : Cornelis W Oosterlee
Publisher : World Scientific
ISBN 13 : 1786347962
Total Pages : 1310 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee

Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Genetic Algorithms and Genetic Programming in Computational Finance

Author : Shu-Heng Chen
Publisher : Springer Science & Business Media
ISBN 13 : 1461508355
Total Pages : 491 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Genetic Algorithms and Genetic Programming in Computational Finance by : Shu-Heng Chen

Download or read book Genetic Algorithms and Genetic Programming in Computational Finance written by Shu-Heng Chen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.

Modern Computational Finance

Author : Antoine Savine
Publisher : John Wiley & Sons
ISBN 13 : 111954078X
Total Pages : 295 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Modern Computational Finance by : Antoine Savine

Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2021-11-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.