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Modern Computational Finance: Scripting for Derivatives and Xva (Hardcover)


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Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Most derivatives valuation and risk systems, either in-house or from external vendors, feature scripting technology. Yet, the expertise in this field remains unwritten to date, without any dedicated article or publication.

This volume fills the gap. It is written by Jesper Andreasen and Antoine Savine, who have developed scripting systems for leading investment banks since the 1990s, actively contributed to the development of the scripting technology, and co-developed Danske Bank's award-winning derivatives system.The publication comes with a complete, professional scripting library written in modern C++, and the chapters gradually and pedagogically guide readers towards its construction.

Scripting technology is widely considered as a convenience for the structuring and risk management of exotic derivatives, only. This publication shows that the scripting technology has much wider applications. Specifically, it demonstrates how scripting provides a unique representation of financial transactions that enables the user to interrogate, aggregate and manipulate cash-flows in multiple ways, facilitating portfolio-wide risk assessment and regulatory calculations like XVA. This is essential reading for developers and analysts, all professionals involved with financial derivatives, as well as students and teachers in Masters and PhD programs in finance.

About the Author

ANTOINE SAVINE is a mathematician and derivatives practitioner with leading investment banks since 1995. Antoine was the Global Head of Fixed Income Derivatives Research for BNP-Paribas for 10 years, and presently works with Danske Bank, whose xVA system won the In-House System of the Year 2015 Risk Award. Antoine's Computational Finance books provide a unique practitioner insight into the implementation of derivatives models. Antoine lectures in the University of Copenhagen's Masters of Science in Mathematics-Economics, including Volatility Modeling and Numerical Finance, for which his book AAD and Parallel Simulations is the curriculum. Antoine holds a Masters from the University of Paris (Jussieu) and a PhD from the University of Copenhagen, both in Mathematics. He is best known for his work on volatility, multi-factor interest rate models, scripting, AAD and parallel Monte-Carlo. JESPER ANDREASEN heads the Quantitative Research Department at Saxo Bank in Copenhagen. Prior to this, Jesper has held senior positions at the quantitative research departments of Danske Bank, Bank of America, Nordea and General Re Financial Products. Jesper's current research interests include real-time risk and capital calculations, IT implementation, statistics, and trading strategies. Jesper earned a PhD in mathematical finance from Aarhus University, Denmark, in 1997. He received Risk Magazine's Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.
Product Details
ISBN: 9781119540786
ISBN-10: 111954078X
Publisher: Wiley
Publication Date: October 26th, 2021
Pages: 240
Language: English