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DERIVATIVES ALGORITHMS:Volume 1: Bones

Author

Listed:
  • Tom Hyer

    (UBS, UK)

Abstract

Derivatives 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.

Suggested Citation

  • Tom Hyer, 2010. "DERIVATIVES ALGORITHMS:Volume 1: Bones," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7524, March.
  • Handle: RePEc:wsi:wsbook:7524
    as

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    File URL: http://www.worldscientific.com/worldscibooks/10.1142/7524
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    More about this item

    Keywords

    Derivatives; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Code Generation; Extensibility;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C - Mathematical and Quantitative Methods

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