|
|
|
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates ('write once') and support for legacy C applications. 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; and, 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.
| ISBN | 0470855096 | | Pages | 432 | | ISBN13 | 9780470855096
(What's this?) | | Volumes | 1 | | Publisher | John Wiley and Sons Ltd | | Weight (grammes) | 992 | | Imprint | John Wiley & Sons Ltd | | Published in | Chichester | | Format | Hardback | | Series title | The Wiley Finance Series | | Publication date | 29 Jun 2004 | | Height (mm) | 253 | | Library of Congress | HG4515.2.D | | Width (mm) | 179 | | DEWEY | 332.602855133 | | Spine width (mm) | 31 | | DEWEY edition | DC22 | | Academic level | Professional / Scholarly |
|
| |
| 1 | | Executive overview of this book | | 1 | | Pt. I | | Template programming in C++ | | | | 2 | | A gentle introduction to templates in C++ | | 9 | | 3 | | An introduction to the standard template library | | 20 | | 4 | | STL for financial engineering applications | | 36 | | 5 | | The property pattern in financial engineering | | 47 | | Pt. II | | Building block classes | | | | 6 | | Arrays, vectors and matrices | | 63 | | 7 | | Arrays and matrix properties | | 78 | | 8 | | Numerical linear algebra | | 91 | | 9 | | Modelling functions in C++ | | 103 | | 10 | | C++ classes for statistical distributions | | 117 | | Pt. III | | Ordinary and stochastic differential equations | | | | 11 | | Numerical solution of initial value problems : fundamentals | | 131 | | 12 | | Stochastic processes and stochastic differential equations | | 145 | | 13 | | Two-point boundary value problems | | 155 | | 14 | | Matrix iterative methods | | 164 | | Pt. IV | | Programming the black-scholes environment | | | | 15 | | An overview of computational finance | | 175 | | 16 | | Finite difference schemes for black-scholes | | 182 | | 17 | | Implicit finite difference schemes for black-scholes | | 192 | | 18 | | Special schemes for plain and exotic options | | 203 | | 19 | | My first finite difference solver | | 212 | | 20 | | An introduction to ADI and splitting schemes | | 225 | | 21 | | Numerical approximation of two-factor derivative models | | 237 | | | More... | | |
|
|
|
|
|
Enlarge
