Financial Instrument Pricing Using C++ (eBook)
by Daniel J. Duffy (Author)
- 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.
- Released: September 5, 2018
- Language: English
- Publisher: Wiley
- ISBN-13: 9781119170495