Modern Computational Finance
AAD and Parallel Simulations
Antoine Savine · Leif B. G. Andersen · 2018 · John Wiley & Sons
Institutional quant text on algorithmic adjoint differentiation (AAD), parallel Monte Carlo, and implementation-minded pricing/risk—written by practitioners who shipped large bank systems. Pairs naturally with scripting and xVA volumes for a full modern computational stack.
- Derivatives
- Risk management
- Quantitative finance