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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

About the Companion C++ Code

This book comes with a professional implementation in C++ freely available to readers on:

www.wiley.com/go/computationalfinance

In this repository, readers will find:

  1. All the source code listed or referenced in this publication.
  2. The files AAD*.*1 constitute a self contained, general-purpose AAD library. The code builds on the advanced techniques exposed in this publication, in particular those of Chapters 10, 14, and 15, to produce a particularly fast differentiation library applicable to many contexts. The code is progressively built and explained in Part III.
  3. The files mc*.*2 form a generic, parallel, financial simulation library. The code and its theoretical foundations are described in Part II.
  4. Various files with support code for memory management, interpolation, or concurrent data structures, such as threadPool.h, which is developed in Part I and used throughout the book to execute tasks in parallel.
  5. A file main.h that lists all the higher level functions that provide an entry point into the combined library.
  6. A Visual Studio 2017 project wrapping all the source files, with project settings correctly set for maximum optimization. The code uses some C++ 17 constructs, so the project setting “C++ Language Standard” on the project property “C/C++ / Language / C++ Language Standard” must be set to “ISO C++ 17 standard.” This setting is correctly set on the project file xlComp.vcxproj, but readers who compile the files by other means must be aware ...
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Publisher Resources

ISBN: 9781119539452Purchase book