Modern Computational Finance: AAD and Parallel Simulations (Antoine Savine, Wiley, 2018)

Antoine Savine
Nov 9, 2018 · 2 min read

I finally put all my years of teaching and professionally developing generic, parallel financial Monte-Carlo libraries and automatic adjoint differentiation (AAD) in a book published by Wiley on November 13th, 2018:

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http://www.amazon.com/Modern-Computational-Finance-Parallel-Simulations/dp/1119539455

I was fortunate to get excellent early reviews by leading academics and practitioners like Bruno Dupire, Paul Glasserman or Vladimir Piterbarg. Read them here: https://www.amazon.com/Modern-Computational-Finance-Parallel-Simulations-dp-1119539455/dp/1119539455

The book explains in deep detail the key technologies Jesper Andreasen, my colleagues in Danske Bank and myself implemented to earn the In-House System of the Year 2015 Risk award.

It comes with a complete, professional C++ library freely available on GitHub: watch the repo or follow me to be notified of updates and fixes: http://github.com/asavine/CompFinance/wiki

Read Leif Andersen’s preface here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=3281877. A number of excerpts are freely available on Wiley’s page, including a self contained section explaining quasi-random Monte-Carlo with Sobol sequences.

Questions, suggestions, comments and reviews are welcome on my GoodReads author page:

or this question on Quora:

https://www.quora.com/unanswered/What-are-your-thoughts-suggestions-comments-and-reviews-of-my-book-Modern-Computational-Finance-Wiley-2018

Antoine Savine
Quora: https://www.quora.com/profile/Antoine-Savine-1

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