Modern Computational Finance: Scripting for Derivatives and xVA - Hardcover

Savine, Antoine; Andreasen, Jesper

Hardcover

ISBN 10: 111954078X ISBN 13: 9781119540786

Publisher: Wiley, 2021

Synopsis

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 this title

About the Author

ANTOINE SAVINE is a mathematician and derivatives practitioner since 1995. After globally running quantitative research for a leading French investment bank for ten years, Antoine joined Jesper Andreasen to participate in the development of Danske Bank's systems, which won the In-House System of the Year 2015 Risk award. Antoine also lectures in the University of Copenhagen's Masters of Science in Mathematics-Economics, with topics including Volatility Modeling and Numerical Finance, for which this book is the curriculum. Antoine holds a Masters in Mathematics from the University of Paris-Jussieu and a PhD in Mathematics from the University of Copenhagen. He is best known for his work on volatility, multi-factor interest rate models, scripting, AAD and parallel Monte-Carlo. His Computational Finance books combine the unique insight of a leading practitioner with the rigor and pedagogy of an accomplished lecturer.
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.

Review

"This is a new era that expects a new, expanded skill set from a new generation of quants. This is a new type of publication that combines words, mathematics and code to offer a full picture for the generic,effective, practical development of modern financial libraries. The authors provide the unique perspective of long time leading derivatives practitioners.Brilliant."
 
Rolf Poulsen, professor of mathematical finance, Universityof Copenhagen

Edition details

• Publisher: Wiley
• Publication date: 2021
• ISBN 10: 111954078X
• ISBN 13: 9781119540786
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 288