Textbook : Modern Computational Finance: AAD and Parallel Simulations, 1st Edition (PDF Download)

A Digital Textbook : Modern Computational Finance: AAD and Parallel Simulations, 1st Edition
By Antoine Savine
ISBN 10: 1119539455 | ISBN 13:9781119539452
Publisher: John Wiley & Sons
Other ISBNs: 9781119539452, 1119539455
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Introduction xxi
PART I Modern Parallel Programming 1
CHAPTER 1 Effective C++ 17
CHAPTER 2 Modern C++ 25
CHAPTER 3 Parallel C++ 47
PART II Parallel Simulation 123
CHAPTER 4 Asset Pricing 127
CHAPTER 5 Monte-Carlo 185
CHAPTER 6Serial Implementation 213
CHAPTER 7 Parallel Implementation 271
PART III Constant Time Differentiation 285
CHAPTER 8 Manual Adjoint Differentiation 295
CHAPTER 9 Algorithmic Adjoint Differentiation 321
CHAPTER 10 Effective AAD and Memory Management 357
CHAPTER 11 Discussion and Limitations 401
CHAPTER 12 Differentiation of the Simulation Library 407
CHAPTER 13 Check-Pointing and Calibration 439
CHAPTER 14 Multiple Differentiation in Almost Constant Time 483
CHAPTER 15 Acceleration with Expression Templates 503

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