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Author: Justin London Publisher: John Wiley & Sons ISBN: 047168189X Category : Business & Economics Languages : en Pages : 922
Book Description
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Author: Justin London Publisher: John Wiley & Sons ISBN: 047168189X Category : Business & Economics Languages : en Pages : 922
Book Description
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Author: Andrew Green Publisher: John Wiley & Sons ISBN: 1118556763 Category : Business & Economics Languages : en Pages : 548
Book Description
Thorough, accessible coverage of the key issues in XVA XVA – Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered.
Author: David M. Ferguson Publisher: John Wiley & Sons ISBN: 0470142170 Category : Science Languages : en Pages : 576
Book Description
In Monte Carlo Methods in Chemical Physics: An Introduction to the Monte Carlo Method for Particle Simulations J. Ilja Siepmann Random Number Generators for Parallel Applications Ashok Srinivasan, David M. Ceperley and Michael Mascagni Between Classical and Quantum Monte Carlo Methods: "Variational" QMC Dario Bressanini and Peter J. Reynolds Monte Carlo Eigenvalue Methods in Quantum Mechanics and Statistical Mechanics M. P. Nightingale and C.J. Umrigar Adaptive Path-Integral Monte Carlo Methods for Accurate Computation of Molecular Thermodynamic Properties Robert Q. Topper Monte Carlo Sampling for Classical Trajectory Simulations Gilles H. Peslherbe Haobin Wang and William L. Hase Monte Carlo Approaches to the Protein Folding Problem Jeffrey Skolnick and Andrzej Kolinski Entropy Sampling Monte Carlo for Polypeptides and Proteins Harold A. Scheraga and Minh-Hong Hao Macrostate Dissection of Thermodynamic Monte Carlo Integrals Bruce W. Church, Alex Ulitsky, and David Shalloway Simulated Annealing-Optimal Histogram Methods David M. Ferguson and David G. Garrett Monte Carlo Methods for Polymeric Systems Juan J. de Pablo and Fernando A. Escobedo Thermodynamic-Scaling Methods in Monte Carlo and Their Application to Phase Equilibria John Valleau Semigrand Canonical Monte Carlo Simulation: Integration Along Coexistence Lines David A. Kofke Monte Carlo Methods for Simulating Phase Equilibria of Complex Fluids J. Ilja Siepmann Reactive Canonical Monte Carlo J. Karl Johnson New Monte Carlo Algorithms for Classical Spin Systems G. T. Barkema and M.E.J. Newman
Author: David Hulett Publisher: CRC Press ISBN: 1317115309 Category : Business & Economics Languages : en Pages : 239
Book Description
Project managers tend to believe their cost estimates - whether they have exceeded budgets in the past or not. It is dangerous to accept the engineering cost estimates, which are often optimistic or unrealistic. Though cost estimates incorporate contingency reserves below-the-line, these estimates of reserves often do not benefit from a rigorous assessment of risk to project costs. Risks to cost come from multiple sources including uncertain project duration, which is often ignored in cost risk analyses. In short, experience shows that cost estimating on projects is rarely successful - cost overruns routinely occur. There are effective ways to estimate the impact on the cost of complex projects from project risks of all types, including traditional cost-type risks and the indirect but often substantial impact from risks usually thought of as affecting project schedules. Integrated cost-schedule risk anlaysis helps us determine how likely the project will go over budget with the current plan, how much contingency reserve is required to achieve a desired level of certainty, and which risks are most important so the project manager can mitigate them and achieve a better result. Integrated Cost-Schedule Risk Analysis provides solutions for these and other challenges. This book follows on from David Hulett's highly-praised Practical Schedule Risk Analysis. It focuses on the way that schedule risk can generate cost risk, and how to handle this relationship. It also applies the Risk Driver Method to the analysis so that you can clearly and transparently identify the key risks, rather than just the most risky cost line items. With detailed worked examples and over 70 illustrations, Integrated Cost-Schedule Risk Analysis offers the definitive guide to this critically important aspect of project management from surely the world's leading commentator.
Author: Alireza Haghighat Publisher: CRC Press ISBN: 0429584105 Category : Mathematics Languages : en Pages : 311
Book Description
Fully updated with the latest developments in the eigenvalue Monte Carlo calculations and automatic variance reduction techniques and containing an entirely new chapter on fission matrix and alternative hybrid techniques. This second edition explores the uses of the Monte Carlo method for real-world applications, explaining its concepts and limitations. Featuring illustrative examples, mathematical derivations, computer algorithms, and homework problems, it is an ideal textbook and practical guide for nuclear engineers and scientists looking into the applications of the Monte Carlo method, in addition to students in physics and engineering, and those engaged in the advancement of the Monte Carlo methods. Describes general and particle-transport-specific automated variance reduction techniques Presents Monte Carlo particle transport eigenvalue issues and methodologies to address these issues Presents detailed derivation of existing and advanced formulations and algorithms with real-world examples from the author’s research activities
Author: Publisher: Academic Press ISBN: 0128030615 Category : Science Languages : en Pages : 441
Book Description
Electron Correlation in Molecules – ab initio Beyond Gaussian Quantum Chemistry presents a series of articles concerning important topics in quantum chemistry, including surveys of current topics in this rapidly-developing field that has emerged at the cross section of the historically established areas of mathematics, physics, chemistry, and biology. - Presents surveys of current topics in this rapidly-developing field that has emerged at the cross section of the historically established areas of mathematics, physics, chemistry, and biology - Features detailed reviews written by leading international researchers - The volume includes review on all the topics treated by world renown authors and cutting edge research contributions.
Author: I. Lux Publisher: CRC Press ISBN: 1351091735 Category : Science Languages : en Pages : 492
Book Description
With this book we try to reach several more-or-less unattainable goals namely: To compromise in a single book all the most important achievements of Monte Carlo calculations for solving neutron and photon transport problems. To present a book which discusses the same topics in the three levels known from the literature and gives us useful information for both beginners and experienced readers. It lists both well-established old techniques and also newest findings.
Author: Gabor J. Szekely Publisher: CRC Press ISBN: 0429529260 Category : Mathematics Languages : en Pages : 444
Book Description
Energy distance is a statistical distance between the distributions of random vectors, which characterizes equality of distributions. The name energy derives from Newton's gravitational potential energy, and there is an elegant relation to the notion of potential energy between statistical observations. Energy statistics are functions of distances between statistical observations in metric spaces. The authors hope this book will spark the interest of most statisticians who so far have not explored E-statistics and would like to apply these new methods using R. The Energy of Data and Distance Correlation is intended for teachers and students looking for dedicated material on energy statistics, but can serve as a supplement to a wide range of courses and areas, such as Monte Carlo methods, U-statistics or V-statistics, measures of multivariate dependence, goodness-of-fit tests, nonparametric methods and distance based methods. •E-statistics provides powerful methods to deal with problems in multivariate inference and analysis. •Methods are implemented in R, and readers can immediately apply them using the freely available energy package for R. •The proposed book will provide an overview of the existing state-of-the-art in development of energy statistics and an overview of applications. •Background and literature review is valuable for anyone considering further research or application in energy statistics.
Author: Justin London
Author: Justin London
Author: Andrew Green
Author: David M. Ferguson
Author: 
Author: David Hulett
Author: Alireza Haghighat
Author: 
Author: I. Lux
Author: Gabor J. Szekely
Author: Amitava Majumdar