(An excerpt from the Modern Computational Finance book)
Sobol sequences explained
Tag: Numerical Finance
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
Scripting derivatives cash-flows: insights and perspective by Jesper Andreasen and Antoine Savine
Modern Computational Finance book pages
Please post your questions, suggestions, comments or reviews of the book Modern Computational Finance: AAD and Parallel Simulations on the author’s page:
https://antoinesavine.com/books-by-antoine-savine
or the book’s GoodReads page:
http://www.goodreads.com/book/show/40244920-modern-computational-finance
A public preview, including Leif Andersen’s preface, is available on SSRN:
Modern Computational Finance: AAD and Parallel Simulations (Wiley, November 13th 2018)
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:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=3281877
The companion code is freely available on GitHub:
http://github.com/asavine/CompFinance/wiki
Follow the repo to be notified of updates, extensions and fixes.
I will be answering questions, suggestions and comments on my GoodReads page:
http://www.goodreads.com/author/show/18069638.Antoine_Savine
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.
Antoine Savine
Antoine Savine 