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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

Acknowledgments

The Computational Finance series is co-authored by Jesper Andreasen, Brian Huge, and Antoine Savine, who worked together in Danske Bank's quantitative research, and wrote its award winning systems, together with Ove Scavenius, Hans-Jorgen Terp Flyger, Jakob Nielsen, Niels Sonderby, Marco Haller Schultz and the rest of the department. Brian Fuglsbjerg conducted a last-minute review of the text and suggested meaningful improvements in the interest of clarity and correctness.

We extend thanks to Danske Bank for providing a work environment that encouraged and nurtured the development of the advanced technologies described in these publications. For avoidance of doubt, the code provided with the books is not the one implemented in the bank's systems and was developed independently for the purpose of the publications.

Irrespective of its intrinsic quality, quantitative research is only as effective as its relationship to business. We are extending special thanks to Danske Bank's exotics and xVA trading desks, who, under the particularly enlightened leadership of Peter Honore, Martin Linderstrom, and Nicki Rasmussen, offered valuable feedback, effective partnership, and unabated support during the development of the bank's systems. We could not have done it without them.

The publications are also based on our articles and talks, as well as our lectures at Copenhagen University. We extend special thanks to Professor Rolf Poulsen, head of the MSc Mathematics–Economics, ...

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Publisher Resources

ISBN: 9781119539452Purchase book