Modern Computational Finance: AAD and Parallel Simulations

This is the best book out there for parallel simulations and AAD. Beware that is not a book on numerical methods or models (for those, I recommend the books by Glasserman and Hirsa).The author really knows his stuff on C++ and runtime efficiency! The C++ chapters are extremely well-written:- Efficient C++: If you don’t know anything about CPU cache and vector registers (AVX and co.), this is a good point to learn about it, although you will want to read more eventually (recommended: there is a good Coursera course on parallelism on Intel CPUs)- Modern C++: it’s a nice summary, but the explanations are sometimes a little superficial. Other sources are definitely recommended!- Parallel C++: Extremely well-written and complete, although I am not sure if it still reflects the state of the art in the implementation as of C++20.The AAD chapters: The explanation of the ideas could be clearer in my opinion. What makes this book really unique, however, is the discussion of efficient (cache-friendly) AAD implementation, which involves the “tape”.

This is one of the most comprehensive books covering AAD C++ implementation I have ever read. I believe the book will benefit quants of all levels either as a textbook or a reference book. For beginner, it provides a step-by-step guide to learn AAD. For more experienced developer, it provides a reference to compare with own implementation. The book pays particular attention to computational efficiency, which is essential to any practical xVA system. This necessitates the introduction of some of the most recent addition to the C++ standards. Therefore, this book also introduces the readers to some advanced C++ features, such as expression template, static operator overloading, etc. I recommend this book. It is well worth the price.

This book exceeded my expectations. I've found disturbing the fact that formulas are not numbered. The link at page XXV is broken but if you google for Antoine's git repository you should manage to find the sample material. At first glance the code quality seems good but not perfect.

Guys this is a great book covering all the required skills for modern quants — but there is an issue with the ebook. The equations cannot be read on kindle — ebook broken please fix it!

Très bon livre. Écriture très claire et relativement didactique. Les deux premières parties ne parlent pas des aad mais permettent de reparcourir la partie c++ et la partie financière. Seul bémol, une partie de la libraire « compagnon » à récupérer en ligne n’est pas clé en main.