By popular demand, I just made my tutorial for exporting your C++ functions to Excel, a stand-alone GitHub repo:
Please post your questions, suggestions, comments or reviews of the book Modern Computational Finance: AAD and Parallel Simulations on the author’s page:
or the book’s GoodReads page:
A public preview, including Leif Andersen’s preface, is available on SSRN:
My book is out on Amazon today. You can read about it in my Medium post:
A free preview, including Leif Andersen’s preface, is available here:
The companion code is freely available on GitHub:
Follow the repo to be notified of updates, extensions and fixes.
I will be answering questions, suggestions and comments on my GoodReads page:
I put all my years of promoting, teaching and professionally implementing automatic adjoint differentiation (AAD) in this book, yet it took years of working nights and week-ends to (hopefully) get it right. I hope readers find that it was worth the effort.
The slides for the presentation on scripting in finance, given at Oxford University in 2017 and QuantMinds and WBS in 2018, were just posted to SSRN, together with a brief history of scripting in finance, written by Jesper Andreasen: