Читать книгу Modern Computational Finance - Antoine Savine - Страница 2
ОглавлениеTable of Contents
1 Cover
4 My Life in Script by Jesper Andreasen
5 PART I: A Scripting Library in C++ Introduction CHAPTER 1: Opening Remarks INTRODUCTION 1.1 SCRIPTING IS NOT ONLY FOR EXOTICS 1.2 SCRIPTING IS FOR CASH‐FLOWS NOT PAYOFFS 1.3 SIMULATION MODELS 1.4 PRE‐PROCESSING 1.5 VISITORS 1.6 MODERN IMPLEMENTATION IN C++ 1.7 SCRIPT TEMPLATES NOTES CHAPTER 2: Expression Trees 2.1 IN THEORY 2.2 IN CODE NOTE CHAPTER 3: Visitors 3.1 THE VISITOR PATTERN 3.2 THE DEBUGGER VISITOR 3.3 THE VARIABLE INDEXER 3.4 PRE‐PROCESSORS 3.5 CONST VISITORS 3.6 THE EVALUATOR 3.7 COMMUNICATING WITH MODELS NOTES CHAPTER 4: Putting Scripting Together with a Model 4.1 A SIMPLISTIC BLACK‐SCHOLES MONTE‐CARLO SIMULATOR 4.2 CONNECTING THE MODEL TO THE SCRIPTING FRAMEWORK NOTES CHAPTER 5: Core Extensions and the “Pays” Keyword 5.1 IN THEORY 5.2 IN CODE NOTE
6 PART II: Basic Improvements Introduction CHAPTER 6: Past Evaluator CHAPTER 7: Macros CHAPTER 8: Schedules of Cash‐Flows CHAPTER 9: Support for Dates NOTE CHAPTER 10: Predefined Schedules and Functions CHAPTER 11: Support for Vectors 11.1 BASIC FUNCTIONALITY 11.2 ADVANCED FUNCTIONALITY
7 PART III: Advanced Improvements Introduction CHAPTER 12: Linear Products 12.1 INTEREST RATES AND SWAPS 12.2 EQUITIES, FOREIGN EXCHANGE, AND COMMODITIES 12.3 LINEAR MODEL IMPLEMENTATION CHAPTER 13: Fixed Income Instruments 13.1 DELAYED PAYMENTS 13.2 DISCOUNT FACTORS 13.3 THE SIMULATED DATA PROCESSOR 13.4 INDEXING 13.5 UPGRADING “PAYS” TO SUPPORT DELAYED PAYMENTS 13.6 ANNUITIES 13.7 FORWARD DISCOUNT FACTORS 13.8 BACK TO EQUITIES 13.9 LIBOR AND RATE FIXINGS 13.10 SCRIPTS FOR SWAPS AND OPTIONS CHAPTER 14: Multiple Underlying Assets 14.1 MULTIPLE ASSETS 14.2 MULTIPLE CURRENCIES CHAPTER 15: American Monte‐Carlo 15.1 LEAST SQUARES METHOD 15.2 ONE PROXY 15.3 ADDITIONAL REGRESSION VARIABLES 15.4 FEEDBACK AND EXERCISE 15.5 MULTIPLE EXERCISE AND RECURSION NOTES
8 PART IV: Fuzzy Logic and Risk Sensitivities Introduction CHAPTER 16: Risk Sensitivities with Monte‐Carlo 16.1 RISK INSTABILITIES 16.2 TWO APPROACHES TOWARD A SOLUTION 16.3 SMOOTHING FOR DIGITALS AND BARRIERS 16.4 SMOOTHING FOR SCRIPTED TRANSACTIONS NOTE CHAPTER 17: Support for Smoothing CHAPTER 18: An Automated Smoothing Algorithm 18.1 BASIC ALGORITHM 18.2 NESTED AND COMBINED CONDITIONS 18.3 AFFECTED VARIABLES 18.4 FURTHER OPTIMIZATION NOTE CHAPTER 19: Fuzzy Logic NOTE CHAPTER 20: Condition Domains 20.1 FUZZY EVALUATION OF DISCRETE CONDITIONS 20.2 IDENTIFICATION OF CONDITION DOMAINS 20.3 CONSTANT EXPRESSIONS NOTE CHAPTER 21: Limitations 21.1 DEAD AND ALIVE 21.2 NON‐LINEAR USE OF FUZZY VARIABLES CHAPTER 22: The Smoothing Factor 22.1 SCRIPTING SUPPORT 22.2 AUTOMATIC DETERMINATION
9 PART V: Application to xVA CHAPTER 23: xVA NOTE CHAPTER 24: Branching CHAPTER 25: Closing Remarks 25.1 SCRIPT EXAMPLES 25.2 MULTI‐THREADING AND AAD 25.3 ADVANCED LSM OPTIMIZATIONS
10 APPENDIX A: Parsing A.1 PREPARING FOR PARSING A.2 PARSING STATEMENTS A.3 RECURSIVELY PARSING CONDITIONS A.4 RECURSIVELY PARSING EXPRESSIONS A.5 PERFORMANCE NOTES
11 Bibliography
12 Index
Pages
1 iii
2 iv
3 xi
4 xii
5 xiii
6 1
7 3
8 4
9 5
10 6
11 7
12 8
13 9
14 10
15 11
16 12
17 13
18 14
19 15
20 16
21 17
22 18
23 19
24 20
25 21
26 22
27 23
28 25
29 26
30 27
31 28
32 29
33 30
34 31
35 32
36 33
37 34
38 35
39 36
40 37
41 38
42 39
43 41
44 42
45 43
46 44
47 45
48 46
49 47
50 48
51 49
52 50
53 51
54 52
55 53
56 54
57 55
58 56
59 57
60 58
61 59
62 60
63 61
64 62
65 63
66 64
67 65
68 66
69 67
70 68
71 69
72 70
73 71
74 72
75 73
76 74
77 75
78 76
79 77
80 78
81 79
82 80
83 81
84 82
85 83
86 84
87 85
88 86
89 87
90 88
91 89
92 91
93 93
94 95
95 96
96 97
97 98
98 99
99 100
100 101
101 102
102 103
103 105
104 106
105 107
106 109
107 110
108 111
109 113
110 114
111 115
112 116
113 117
114 119
115 121
116 122
117 123
118 124
119 125
120 126
121 127
122 128
123 129
124 130
125 131
126 132
127 133
128 134
129 135
130 136
131 137
132 138
133 139
134 140
135 141
136 142
137 143
138 144
139 145
140 146
141 147
142 148
143 149
144 150
145 151
146 152
147 153
148 154
149 155
150 157
151 158
152 159
153 161
154 162
155 163
156 164
157 165
158 166
159 167
160 168
161 169
162 170
163 171
164 172
165 173
166 175
167 176
168 177
169 178
170 179
171 180
172 181
173 183
174 184
175 185
176 186
177 187
178 189
179 190
180 191
181 192
182 193
183 194
184 195
185 196
186 197
187 198
188 199
189 200
190 201
191 203
192 204
193 205
194 206
195 207
196 209
197 210
198 211
199 212
200 213
201 215
202 216
203 217
204 219
205 220
206 221
207 223
208 224
209 225
210 226
211 227
212 228
213 229
214 231
215 232
216 233
217 234
218 235
219 236
220 237
221 238
222 239
223 240
224 241
225 242
226 243
227 244
228 245
229 246
230 247
231 248
232 249
233 250
234 251
235 252
236 253
237 255
238 256
239 257
240 258
241 259
242 260
243 261
244 262
245 263
246 264
247 265
248 266
249 267
250 268
251 269
252 270
253 271
254 272
255 273
