Numerical Methods in Finance with C++ Part of Mastering Mathematical Finance

Capinski, Maciej J.

ISBN 10: 0521177162 / ISBN 13: 9780521177160

Published by Cambridge University Press, 2012

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Bibliographic Details

• Title: Numerical Methods in Finance with C++ Part of Mastering Mathematical Finance
• Publisher: Cambridge University Press
• Publication Date: 2012
• Language: English
• ISBN 10: 0521177162
• ISBN 13: 9780521177160
• Binding: Soft cover
• Condition: New

About this title

Synopsis

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

About the Authors

Maciej J. Capi ski is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer assisted proofs in dynamical systems and celestial mechanics. He has authored eight research publications and supervised over thirty MSc dissertations, mostly in mathematical finance.

Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.