Modern Computational Finance

Table of contents

1. Cover
2. Preface by Leif Andersen
3. Acknowledgments
4. Introduction
5. About the Companion C++ Code
6. PART I: Modern Parallel Programming
   1. Introduction
      1. PARALLEL ALGORITHMS
      2. THE MANY FLAVORS OF PARALLEL PROGRAMMING
      3. WRITING MULTI-THREADED PROGRAMS
      4. PARALLEL COMPUTING IN FINANCE
      5. NOTES
   2. CHAPTER 1: Effective C++
      1. NOTES
   3. CHAPTER 2: Modern C++
      1. 2.1 LAMBDA EXPRESSIONS
      2. 2.2 FUNCTIONAL PROGRAMMING IN C++
      3. 2.3 MOVE SEMANTICS
      4. 2.4 SMART POINTERS
      5. NOTES
   4. CHAPTER 3: Parallel C++
      1. 3.1 MULTI-THREADED HELLO WORLD
      2. 3.2 THREAD MANAGEMENT
      3. 3.3 DATA SHARING
      4. 3.4 THREAD LOCAL STORAGE
      5. 3.5 FALSE SHARING
      6. 3.6 RACE CONDITIONS AND DATA RACES
      7. 3.7 LOCKS
      8. 3.8 SPINLOCKS
      9. 3.9 DEADLOCKS
      10. 3.10 RAII LOCKS
      11. 3.11 LOCK-FREE CONCURRENT DESIGN
      12. 3.12 INTRODUCTION TO CONCURRENT DATA STRUCTURES
      13. 3.13 CONDITION VARIABLES
      14. 3.14 ADVANCED SYNCHRONIZATION
      15. 3.15 LAZY INITIALIZATION
      16. 3.16 ATOMIC TYPES
      17. 3.17 TASK MANAGEMENT
      18. 3.18 THREAD POOLS
      19. 3.19 USING THE THREAD POOL
      20. 3.20 DEBUGGING AND OPTIMIZING PARALLEL PROGRAMS
      21. NOTES
7. PART II: Parallel Simulation
   1. Introduction
   2. CHAPTER 4: Asset Pricing
      1. 4.1 FINANCIAL PRODUCTS
      2. 4.2 THE ARBITRAGE PRICING THEORY
      3. 4.3 FINANCIAL MODELS
      4. NOTES
   3. CHAPTER 5: Monte-Carlo
      1. 5.1 THE MONTE-CARLO ALGORITHM
      2. 5.2 SIMULATION OF DYNAMIC MODELS
      3. 5.3 RANDOM NUMBERS
      4. 5.4 BETTER RANDOM NUMBERS
      5. NOTES
   4. CHAPTER 6: Serial Implementation
      1. 6.1 THE TEMPLATE SIMULATION ALGORITHM
      2. 6.2 RANDOM NUMBER GENERATORS
      3. 6.3 CONCRETE PRODUCTS
      4. 6.4 CONCRETE MODELS
      5. 6.5 USER INTERFACE
      6. 6.6 RESULTS
      7. NOTES
   5. CHAPTER 7: Parallel Implementation
      1. 7.1 PARALLEL CODE AND SKIP AHEAD
      2. 7.2 SKIP AHEAD WITH MRG32K3A
      3. 7.3 SKIP AHEAD WITH SOBOL
      4. 7.4 RESULTS
      5. NOTES
8. PART III: Constant Time Differentiation
   1. Introduction
      1. OPENING REMARKS
      2. SUMMARY
      3. A FIRST APPROACH TO ADJOINT DIFFERENTIATION
      4. NOTES
   2. CHAPTER 8: Manual Adjoint Differentiation
      1. 8.1 INTRODUCTION TO ADJOINT DIFFERENTIATION
      2. 8.2 ADJOINT DIFFERENTIATION BY HAND
      3. 8.3 APPLICATIONS IN MACHINE LEARNING AND FINANCE
      4. NOTES
   3. CHAPTER 9: Algorithmic Adjoint Differentiation
      1. 9.1 CALCULATION GRAPHS
      2. 9.2 BUILDING AND APPLYING DAGS
      3. 9.3 ADJOINT MATHEMATICS
      4. 9.4 ADJOINT ACCUMULATION AND DAG TRAVERSAL
      5. 9.5 WORKING WITH TAPES
      6. NOTES
   4. CHAPTER 10: Effective AAD and Memory Management
      1. 10.1 THE NODE CLASS
      2. 10.2 MEMORY MANAGEMENT AND THE TAPE CLASS
      3. 10.3 THE NUMBER CLASS
      4. 10.4 BASIC INSTRUMENTATION
      5. NOTES
   5. CHAPTER 11: Discussion and Limitations
      1. 11.1 INPUTS AND OUTPUTS
      2. 11.2 HIGHER-ORDER DERIVATIVES
      3. 11.3 CONTROL FLOW
      4. 11.4 MEMORY
      5. NOTE
   6. CHAPTER 12: Differentiation of the Simulation Library
      1. 12.1 ACTIVE CODE
      2. 12.2 SERIAL CODE
      3. 12.3 USER INTERFACE
      4. 12.4 SERIAL RESULTS
      5. 12.5 PARALLEL CODE
      6. 12.6 PARALLEL RESULTS
      7. NOTES
   7. CHAPTER 13: Check-Pointing and Calibration
      1. 13.1 CHECK-POINTING
      2. 13.2 EXPLICIT CALIBRATION
      3. 13.3 IMPLICIT CALIBRATION
      4. NOTES
   8. CHAPTER 14: Multiple Differentiation in Almost Constant Time
      1. 14.1 MULTIDIMENSIONAL DIFFERENTIATION
      2. 14.2 TRADITIONAL MULTIDIMENSIONAL AAD
      3. 14.3 MULTIDIMENSIONAL ADJOINTS
      4. 14.4 AAD LIBRARY SUPPORT
      5. 14.5 INSTRUMENTATION OF SIMULATION ALGORITHMS
      6. 14.6 RESULTS
      7. NOTE
   9. CHAPTER 15: Acceleration with Expression Templates
      1. 15.1 EXPRESSION NODES
      2. 15.2 EXPRESSION TEMPLATES
      3. 15.3 EXPRESSION TEMPLATED AAD CODE
      4. NOTES
   10. Debugging AAD Instrumentation
   11. Conclusion
   12. References
   13. Index
   14. End User License Agreement