Modern Computational Finance. Antoine Savine

TWO APPROACHES TOWARD A SOLUTION 16.3 SMOOTHING FOR DIGITALS AND BARRIERS 16.4 SMOOTHING FOR SCRIPTED TRANSACTIONS NOTE CHAPTER 17: Support for Smoothing CHAPTER 18: An Automated Smoothing Algorithm 18.1 BASIC ALGORITHM 18.2 NESTED AND COMBINED CONDITIONS 18.3 AFFECTED VARIABLES 18.4 FURTHER OPTIMIZATION NOTE CHAPTER 19: Fuzzy Logic NOTE CHAPTER 20: Condition Domains 20.1 FUZZY EVALUATION OF DISCRETE CONDITIONS 20.2 IDENTIFICATION OF CONDITION DOMAINS 20.3 CONSTANT EXPRESSIONS NOTE CHAPTER 21: Limitations 21.1 DEAD AND ALIVE 21.2 NON‐LINEAR USE OF FUZZY VARIABLES CHAPTER 22: The Smoothing Factor 22.1 SCRIPTING SUPPORT 22.2 AUTOMATIC DETERMINATION

      9  PART V: Application to xVA CHAPTER 23: xVA NOTE CHAPTER 24: Branching CHAPTER 25: Closing Remarks 25.1 SCRIPT EXAMPLES 25.2 MULTI‐THREADING AND AAD 25.3 ADVANCED LSM OPTIMIZATIONS

      10  APPENDIX A: Parsing A.1 PREPARING FOR PARSING A.2 PARSING STATEMENTS A.3 RECURSIVELY PARSING CONDITIONS A.4 RECURSIVELY PARSING EXPRESSIONS A.5 PERFORMANCE NOTES

      11  Bibliography

      12  Index

      13  End User License Agreement

      Guide

      1  Cover Page

      2  Table of Contents

      3  Title Page

      4  Copyright

      5  Begin Reading

      6  Appendix A Parsing

      7  Bibliography

      8  Index

      9  End User License Agreement

      Pages

      1  iii

      2  iv

      3  xi

      4  xii

      5  xiii

      6  1

      7  3

      8  4

      9  5

      10  6

      11  7

      12  8

      13  9

      14  10

      15  11

      16  12

      17  13

      18  14

      19  15