Modern Computational Finance. Antoine Savine

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Modern Computational Finance - Antoine Savine

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      Table of Contents

      1  Cover

      2  Title Page

      3  Copyright

      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

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