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Modern Computational Finance
book

Modern Computational Finance

by Antoine Savine, Leif Andersen
November 2018
Intermediate to advanced content levelIntermediate to advanced
592 pages
15h 36m
English
Wiley
Content preview from Modern Computational Finance

Index

  • AADET, 504, 513, 520–522
  • Acceleration, expression templates (usage), 503
  • Accessors, 218–221, 380
  • Accumulator, updating, 28
  • Active calculations, 408–409
  • Active local volatilities, 424
  • Active Numbers, counting, 517
  • Active object, 54–55, 75
  • Active wait, 104–108
  • Acyclic graphs, 326
  • Adapters, lambda function, 27
  • Adjoint, 344–349, 416, 444, 490
    • back-propagation, 431
    • calculus, application, 441
    • path-wise back-propagation, 410
    • propagation, 341–342, 415, 486
    • pushing, ease, 519
  • Adjoint differentiation (AD), 291–319
  • Adjoint mathematics, 340–344
  • Adjoints, back-propagation, 379
  • Administrative overhead, 350
  • Administrative work, conducting, 253
  • Advanced synchronization, 80–83
  • Affinity, 50
  • Aggregator, usage, 411
  • Algorithmic adjoint differentiation (AAD), 9–12, 15, 120, 287, 321
    • allowance, 57
    • benefit, 230
    • bugs, causes, 543
    • constant time, 289
    • context, 188, 393
    • discussion, 401
    • effectiveness, 357
    • instrumentation, debugging, 541
    • library support, 487–494
    • limitations, 401
    • noninvasiveness, 289
    • origins, 290
    • parallelism, combination, 435
    • upgrade, 219
    • usage, 140, 161, 241
  • Amdahl's law, 11
  • American options, 135–137
  • Analytic differentiation, 305
  • Annuity, 147
  • Antithetic sampling, 202
  • Arrow-Debreu security, 156
  • Asian options, 134
  • Asset prices, forwards, 148
  • Asset pricing, 127
  • Asset pricing theorem (APT), 140–151
  • Asymptotic differentiation time, 483–484
  • Async, 89–90
  • Asynchronous tasks, completion, 109
  • Atomics, 87, 88
  • Atomic types, 86–89
  • Automatic AD (AAD), 305–306, 318–319, 447
  • Average payoff, differential, ...
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Publisher Resources

ISBN: 9781119539452Purchase book