Modern computational finance: scripting for derivatives and xVA

Scripting of derivatives transactions has been a central piece of financial software since the 1990s.

Most derivatives valuation and risk systems, either in-house or from external vendors, feature scripting technology.

Yet, the expertise in this field remains unwritten to date, without any dedicated article or publication.

This volume fills the gap. It is written by Jesper Andreasen and Antoine Savine, who have developed scripting systems for leading investment banks since the 1990s, actively contributed to the development of the scripting technology, and co-developed Danske Bank's award-winning derivatives system.