(An excerpt from the Modern Computational Finance book)
Sobol sequences explained
Tag: Computational Finance
Exercises in Modern Computational Finance
I am working on a set of exercises and assignments for the chapters of the Modern Computational Finance book. In the meantime, interested readers will find below the final hand-in for the computational finance lecture of autumn 2018 at Copenhagen University, where the book is used as curriculum:
https://antoinesavine.com/wp-content/uploads/2019/01/compfinhandin.pdf
Modern Computational Finance forum on Quora
A topic Modern Computational Finance was created on Quora for exchanging questions, answers, suggestions and comments about the Modern Computational Finance book, and, more generally, the topics of Numerical Finance, Monte-Carlo simulations, quasi-random number generators, parallel implementation in C++ and of course automatic differentiation.
https://www.quora.com/topic/Modern-Computational-Finance
Antoine Savine 