9781119170488 medium

Financial Instrument Pricing Using C++ (eBook)

by (Author)

  • 298,145 Words
  • 1,168 Pages

An integrated guide to C++ and computational finance

This complete guide to C++ and computational finance is afollow-up and major extension to Daniel J. Duffy's 2004 edition ofFinancial Instrument Pricing Using C++. Both C++ andcomputational finance have evolved and changed dramatically in thelast ten years and this book documents these improvements. Duffyfocuses on these developments and the advantages for the quantdeveloper by:

  • Delving into a detailed account of the new C++11 standard andits applicability to computational finance.
  • Using de-facto standard libraries, such as Boost andEigen to improve developer productivity.
  • Developing multiparadigm software using the object-oriented,generic, and functional programming styles.
  • Designing flexible numerical algorithms: modern numericalmethods and multiparadigm design patterns.
  • Providing a detailed explanation of the Finite DifferenceMethods through six chapters, including new developments such asADE, Method of Lines (MOL), and Uncertain Volatility Models.
  • Developing applications, from financial model to algorithmicdesign and code, through a coherent approach.
  • Generating interoperability with Excel add-ins, C#, andC++/CLI.
  • Using random number generation in C++11 and Monte Carlosimulation.

Full source code is available by registering at www.datasimfinancial.com.

Duffy adopted a spiral model approach while writing each chapterof Financial Instrument Pricing Using C++ 2e: analyse alittle, design a little, and code a little. Each cycle ends with aworking prototype in C++ and shows how a given algorithm ornumerical method works. Additionally, each chapter containsnon-trivial exercises and projects that discuss improvements andextensions to the material.

This book is for designers and application developers incomputational finance, and assumes the reader has some fundamentalexperience of C++ and derivatives pricing.

An integrated guide to C++ and computational finance

This complete guide to C++ and computational finance is afollow-up and major extension to Daniel J. Duffy's 2004 edition ofFinancial Instrument Pricing Using C++. Both C++ andcomputational finance have evolved and changed dramatically in thelast ten years and this book documents these improvements. Duffyfocuses on these developments and the advantages for the quantdeveloper by:

  • Delving into a detailed account of the new C++11 standard andits applicability to computational finance.
  • Using de-facto standard libraries, such as Boost andEigen to improve developer productivity.
  • Developing multiparadigm software using the object-oriented,generic, and functional programming styles.
  • Designing flexible numerical algorithms: modern numericalmethods and multiparadigm design patterns.
  • Providing a detailed explanation of the Finite DifferenceMethods through six chapters, including new developments such asADE, Method of Lines (MOL), and Uncertain Volatility Models.
  • Developing applications, from financial model to algorithmicdesign and code, through a coherent approach.
  • Generating interoperability with Excel add-ins, C#, andC++/CLI.
  • Using random number generation in C++11 and Monte Carlosimulation.

Full source code is available by registering at www.datasimfinancial.com.

Duffy adopted a spiral model approach while writing each chapterof Financial Instrument Pricing Using C++ 2e: analyse alittle, design a little, and code a little. Each cycle ends with aworking prototype in C++ and shows how a given algorithm ornumerical method works. Additionally, each chapter containsnon-trivial exercises and projects that discuss improvements andextensions to the material.

This book is for designers and application developers incomputational finance, and assumes the reader has some fundamentalexperience of C++ and derivatives pricing.


  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
:
  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
:
  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
  • 0
    0
  • 1
    1
  • 2
    2
  • 3
    3
  • 4
    4
  • 5
    5
  • 6
    6
  • 7
    7
  • 8
    8
  • 9
    9
Average Reading Time Login to Personalize
  • Released:
  • Categories: Business & Investing
  • Language: English
  • Publisher: Wiley
  • ISBN-10:
  • ISBN-13: 9781119170488
Retail Price:
$74.99
BookShout Price:
$74.99

Format:



Financial Instrument Pricing Using C++

No reviews were found. Please log in to write a review if you've read this book.

Item added to cart

9781119170488 bookshelf
Financial Instrument P...
$74.99
QTY: 1

9781119170488 bookshelf

Write a Review for Financial Instrument Pricing Using C++

by Daniel J. Duffy

Average Rating:
×

Financial Instrument Pricing Using C++ has been added

Financial Instrument Pricing Using C++ has been added to your wish list.

Ok