(An excerpt from the Modern Computational Finance book)
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.
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:
The curriculum for this semester’s Numerical Finance lectures at Copenhagen University is being published by Wiley under the name ‘Modern Computational Finance: AAD and Parallel Simulations’ and will be available on November 20th on Amazon in hardcover and electronic formats.
In the meantime, students will be a given in class a personal code that they can redeem to access the book online.
Once you are in possession of your personal code, please go to vitalsource.com/redeem, create an account, fill in the information and redeem your personal code. Then, press the green link ‘View on your Bookshelf’ next to the confirmation that you successfully redeemed the code to access the curriculum (after you agreed to terms and conditions).
The companion code can be downloaded from Wiley as indicated in the book, or from this gitHub repo where a more current version is kept.