Derivatives Algorithms - Volume 1: Bones

Provides an overview of the abstractions and coding methods which support real-world derivatives trading. This work describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation.

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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.