Modern Computational Finance: AAD and Parallel Simulations (Antoine Savine, Wiley, 2018)
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:
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:
Antoine Savine is a leading practitioner, a lecturer and an author in mathematical and computational finance.. Antoine…www.goodreads.com
or this question on Quora: