Financial Instrument Pricing Using C++ (The Wiley Finance Series)
Language: English
Published by Wiley (edition 1), 2004
- Hardcover
- Used
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- Title
- Financial Instrument Pricing Using C++ (The Wiley Finance Series)
- Author
- Duffy, Daniel J.
- Publisher
- Wiley (edition 1)
- Publication year
- 2004
- Condition
- Very Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0470855096
- ISBN 13
- 9780470855096
- Edition
- 1.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra ?)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ?Gang of Four? Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.'
-- Paul Wilmott, mathematician, author and fund manager
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