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Financial Instrument Pricing Using C++
432 pages - hardback
John Wiley and Sons Ltd - (isbn 0-470-85509-6)
Jun. 2004
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Price:
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102,60 EUR
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Author(s):
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Duffy, Daniel J.
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Description:
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This
book describes in a step-by-step fashion how to create software for
pricing financial instruments such as bonds, options and interest rate
products in C++. Paying particular attention to issues such as C++
design and implementation, design patterns, finite difference methods
and advanced software environments this is an essential reference for
'quants', financial modellers and software developers.
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Contents List:
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PART
I TEMPLATE PROGRAMMING IN C++. 1 Executive Overview of this Book. 2 A
Gentle Introduction to Templates in C++. 3 An Introduction to the
Standard Template Library (STL). 4 STL for Financial Engineering
Applications. 5 The Property Pattern in Financial Engineering. PART II
BUILDING BLOCK CLASSES. 6 Array, Vectors and Matrices. 7 Arrays and
Matrix Properties. 8 Numerical Linear Algebra. 9 Modelling Functions in
C++. 10 C++ Classes for Statistical Distribution. PART III ORDINARY AND
STOCHASTIC DIFFERENTIAL EQUATIONS. 11 Numerical Solution of Initial
Value Problems: Fundamentals. 12 Stochastic Processes and Stochastic
Differential Equations (SDE). 13 Two-point Boundary Value Problems. 14
Matrix Iterative Methods. PART IV PROGRAMMING THE BLACK SCHOLES
ENVIRONMENT. 15 An Overview of Computational Finance. 16 Introducing
Finite Difference Schemes for Black Scholes: A Gentle Introduction. 17
Implicit Finite Difference Schemes for Black Scholes. 18 Special
Schemes for Plain and Exotic Options. 19 My First Finite Difference
Solver. 20 An Introduction to ADI and Splitting Schemes. 21 Numerical
Approximation of Two-Factor Derivative Models.
PART V DESIGN PATTERNS.
22 A C++ Application for Displaying Numeric Data. 23 Object Creational
Patterns. 24 Object Structural Patterns. 25 Object Behavioural
Patterns. PART VI DESIGN AND DEPLOYMENT ISSUES. 26 An Introduction to
Extensible Markup Language (XML). 27 Advanced XML and Programming
Interface. 28 Interfacing C++ and Excel. 29 Advanced Excel Interfacing.
30 An Extended Application: Option Strategies and Portfolios.
Appendices. References.
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Weight:
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992 g
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Dimensions:
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253 x 179
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Publisher:
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John Wiley and Sons Ltd
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John Wiley and Sons Ltd
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