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Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware.
AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance.
Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software.
This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates.
The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.
AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance.
Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software.
This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates.
The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.
"A passion to instruct
A knack for clarity
An obsession to detail
A luminous writer
An instant classic"
--Bruno Dupire, Head of Quantitative Research, Bloomberg L.P.
"It would not be much of an exaggeration to say that Antoine Savine's book ranks as the 21st century peer to Merton's Continuous-Time Finance; it makes modern computational techniques such as multi-threaded parallel AAD as accessible to finance professionals as Merton's introduction of stochastic calculus into finance. A first in a three-book series authored by Danske Bank's powerhouse quant team makes intricate concepts inherent to production-quality implementation of AAD easy to understand and follow through. No other quant finance focused book has gone so deeply into parallel C++ and AAD with such clarity, level of detail and thoroughness. I can hardly wait for the remaining two volumes to see what else the wizards of AAD have up their sleeves."
--Vladimir V. Piterbarg, Partner at Rokos Capital Management, co-author of the three-volume set Interest Rate Modelling
"This book [...] addresses the challenges of AAD head on. [...] The exposition is [...] ideal for a Finance audience. The conceptual, mathematical, and computational ideas behind AAD are patiently developed in a step-by-step manner, where the many brain-twisting aspects of AAD are de-mystified. For real-life application projects, the book is loaded with modern C++ code and battle-tested advice on how to get AAD to run for real. [...] Start reading!"
--Leif Andersen, Global Head of the Quantitative Strategies Group at Bank of America Merrill Lynch
"This three-book series is an indispensable resource for any quant. Written by experts in the field and filled with practical examples and industry insights that are hard to find elsewhere, the books set a new standard for computational finance."
--Paul Glasserman, Jack R. Anderson Professor of Business, Columbia University
"TheGlobal Financial Crisis resulted in profound changes in quants' Modus Operandi. This timely three-volume set describes some of the tools necessary to deal with these changes. Individual volumes cover in detail several important topics of interest to anyone who wants to stay au courant with modern developments in financial engineering. While the books are predominantly practically oriented, they strike a fine balance between theoretical and applied considerations. The authors are prominent practitioners and indisputable thought-leaders in the field. I recommend this set enthusiastically to anyone who wishes to understand the current and emerging trends in financial engineering."
--Professor Alexander Lipton
A knack for clarity
An obsession to detail
A luminous writer
An instant classic"
--Bruno Dupire, Head of Quantitative Research, Bloomberg L.P.
"It would not be much of an exaggeration to say that Antoine Savine's book ranks as the 21st century peer to Merton's Continuous-Time Finance; it makes modern computational techniques such as multi-threaded parallel AAD as accessible to finance professionals as Merton's introduction of stochastic calculus into finance. A first in a three-book series authored by Danske Bank's powerhouse quant team makes intricate concepts inherent to production-quality implementation of AAD easy to understand and follow through. No other quant finance focused book has gone so deeply into parallel C++ and AAD with such clarity, level of detail and thoroughness. I can hardly wait for the remaining two volumes to see what else the wizards of AAD have up their sleeves."
--Vladimir V. Piterbarg, Partner at Rokos Capital Management, co-author of the three-volume set Interest Rate Modelling
"This book [...] addresses the challenges of AAD head on. [...] The exposition is [...] ideal for a Finance audience. The conceptual, mathematical, and computational ideas behind AAD are patiently developed in a step-by-step manner, where the many brain-twisting aspects of AAD are de-mystified. For real-life application projects, the book is loaded with modern C++ code and battle-tested advice on how to get AAD to run for real. [...] Start reading!"
--Leif Andersen, Global Head of the Quantitative Strategies Group at Bank of America Merrill Lynch
"This three-book series is an indispensable resource for any quant. Written by experts in the field and filled with practical examples and industry insights that are hard to find elsewhere, the books set a new standard for computational finance."
--Paul Glasserman, Jack R. Anderson Professor of Business, Columbia University
"TheGlobal Financial Crisis resulted in profound changes in quants' Modus Operandi. This timely three-volume set describes some of the tools necessary to deal with these changes. Individual volumes cover in detail several important topics of interest to anyone who wants to stay au courant with modern developments in financial engineering. While the books are predominantly practically oriented, they strike a fine balance between theoretical and applied considerations. The authors are prominent practitioners and indisputable thought-leaders in the field. I recommend this set enthusiastically to anyone who wishes to understand the current and emerging trends in financial engineering."
--Professor Alexander Lipton