Derivatives Algorithms - Volume 1: Bones

Download or read book Derivatives Algorithms - Volume 1: Bones written by Tom Hyer and published by World Scientific. This book was released on 2010 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives Algorithms provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols that support ever more complex trades and models.