DANIEL J. DUFFY
Financial Instrument Pricing Using C++
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.
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ISBN: 9781119170495
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