Financial instrument pricing using C++ /

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An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++ . Both C++ and computational finance have evolved and changed dramatically in...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Duffy, Daniel J. (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, NJ : Wiley, [2018]
Edición:Second edition.
Colección:Wiley finance series
Temas:
Investments > Mathematical models.
Financial engineering.
C++ (Computer program language)
Investissements > Modèles mathématiques.
Ingénierie financière.
C++ (Langage de programmation)
BUSINESS & ECONOMICS > Finance.
Financial engineering
Investments > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • A tour of C++ and environs
  • New and improved C++ fundamentals
  • Modelling functions in C++
  • Advanced c++ template programming
  • Tuples in c++ and their applications
  • Type traits, advanced lambdas and multiparadigm design in C++
  • Multiparadigm design in C++
  • C++ numerics, IEEE754 and boost C++ multiprecision
  • An introduction to unified software design (USD)
  • New data types, containers and algorithms in C++ and boost C++ libraries
  • Lattice models fundamental data structures and algorithms
  • Lattice models applications to computational finance
  • Numerical linear algebra : tridiagonal systems and applications
  • Data visualisation in Excel
  • Univariate statistical distributions
  • Bivariate statistical distributions and two-asset option pricing
  • STL algorithms in detail
  • STL algorithms part II
  • An introduction to optimisation and the solution of nonlinear equations
  • The finite difference method for PDEs mathematical background
  • Software framework for one-factor option models
  • Extending the software framework
  • A PDE software framework in C++11 for a class of path-dependent options
  • Ordinary differential equations and their numerical approximation
  • Advanced ordinary differential equations and method of lines (MOL)
  • Random number generation and distributions
  • Microsoft .net, C# and C++11 interoperability
  • C++ concurrency, Part I Threads
  • C++ concurrency, part II Tasks
  • Parallel patterns language (PPL)
  • Monte Carlo simulation, Part I
  • Monte Carlo simulation, Part II
  • Bibliography
  • Appendix
  • Index.

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