DERIVATIV ALGORITHM (V1)(2ND ED): Volume 1: Bones

Derivatives Algorithms - Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods. It also presents a set of protocols, by which models and trades can collaborate to support pricing and hedging t...