Modeling Derivatives in C++.

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical int...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: London, Justin
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : John Wiley & Sons, 2005.
Colección:Wiley Finance Ser.
Temas:
Derivative securities > Data processing.
C++ (Computer program language)
Instruments dérivés (Finances) > Informatique.
C++ (Langage de programmation)
Acceso en línea:Texto completo

MARC

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520 |a This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. 
505 0 |a Modeling Derivatives in C++; Contents; Preface; Acknowledgments; CHAPTER 1 Black-Scholes and Pricing Fundamentals; CHAPTER 2 Monte Carlo Simulation; CHAPTER 3 Binomial Trees; CHAPTER 4 Trinomial Trees; CHAPTER 5 Finite-Difference Methods; CHAPTER 6 Exotic Options; CHAPTER 7 Stochastic Volatility; CHAPTER 8 Statistical Models; CHAPTER 9 Stochastic Multifactor Models; CHAPTER 10 Single-Factor Interest Rate Models; CHAPTER 11 Tree-Building Procedures; CHAPTER 12 Two-Factor Models and the Heath-Jarrow-Morton Model; CHAPTER 13 LIBOR Market Models. 
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