Financial Instrument Pricing Using C++
Language: English
Published by John Wiley & Sons Inc, 2004
- First Edition
- Hardcover
- New
Seller: Kennys Bookshop and Art Galleries Ltd., Galway, GY, IrelandKennys Bookshop and Art Galleries Ltd.
AbeBooks seller since February 27, 2001
Condition: New
US$ 153.15
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Add to basketItem description from seller
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book offers several features that allow developers to write software systems. It employs modern software engineering techniques to produce industrial-strength applications. Series: Wiley Finance Series. Num Pages: 432 pages, ill. BIC Classification: KFFM; UF; UMZ. Category: (P) Professional & Vocational. Dimension: 255 x 177 x 33. Weight in Grams: 990. . 2004. 1st Edition. Hardcover. . . . .
Seller Inventory # V9780470855096
- Title
- Financial Instrument Pricing Using C++
- Author
- Daniel J. Duffy
- Publisher
- John Wiley & Sons Inc
- Publication year
- 2004
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0470855096
- ISBN 13
- 9780470855096
- Edition
- 1st Edition
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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