DERIVATIVES ALGORITHMS:Volume 1: Bones
AbstractDerivatives Algorithms provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols that support ever more complex trades and models.
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Bibliographic InfoThis book is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Books with number 7524 and published in 2010.
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