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Advanced quantitative finance with C++ : create and implement mathemtical models in C++ using quatitaive finance /
The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice. If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of fin...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Birmingham :
Packt Publishing,
2014.
|
| Colección: | Community experience distilled.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Peña, Alonso. | |
| 245 | 1 | 0 | |a Advanced quantitative finance with C++ : |b create and implement mathemtical models in C++ using quatitaive finance / |c Alonso Peña. |
| 260 | |a Birmingham : |b Packt Publishing, |c 2014. | ||
| 300 | |a 1 online resource : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file | ||
| 490 | 1 | |a Community experience distilled | |
| 500 | |a Includes index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice. If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Cover; Copyright; Credits; About the Author; Acknowledgments; About the Reviewer; www.PacktPub.com; Table of Contents; Preface; Chapter 1: What is Quantitative Finance?; Discipline 1 -- finance (financial derivatives); Discipline 2 -- mathematics; Discipline 3 -- informatics (C++ programming); The Bento Box template; Summary; Chapter 2: Mathematical Models; Equity; Foreign exchange; Interest rates; Short rate models; Market models; Credit; Structural models; Intensity models; Summary; Chapter 3: Numerical Methods; The Monte Carlo simulation method; Algorithm of MC method; Example of MC method | |
| 505 | 8 | |a Binomial Trees methodAlgorithm of the BT method; Example of the BT method; The Finite Difference method; Algorithm of FDM; Example of FD method; Summary; Chapter 4: Equity Derivatives in C++; Basic example -- European Call; Advanced example -- equity basket; Summary; Chapter 5: Foreign Exchange Derivatives with C++; Basic example -- European FX Call (FX1); Advanced example -- FX barrier option (FX2); Summary; Chapter 6: Interest Rate Derivatives with C++; Basic example -- plain vanilla IRS (IR1); Advanced example -- IRS with Cap (IR2); Summary; Chapter 7: Credit Derivatives with C++ | |
| 505 | 8 | |a Basic example -- bankruptcy (CR1)Advanced example -- CDS (CR2); Summary; Appendix A: C++ Numerical Libraries for Option Pricing; Numerical recipes; Financial numerical recipes; The QuantLib project; The Boost library; The GSL library; Appendix B: References; Index | |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a C++ (Computer program language) | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 6 | |a C++ (Langage de programmation) | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 7 | |a COMPUTERS |x Programming Languages |x C++ |2 bisacsh | |
| 650 | 7 | |a C++ (Computer program language) |2 fast |0 (OCoLC)fst00843286 | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 776 | 0 | 8 | |i Print version: |a Peña, Alonso. |t Advanced quantitative finance with C++. |d Birmingham : Packt Publishing, 2014 |z 1306902614 |
| 830 | 0 | |a Community experience distilled. | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=805429 |z Texto completo |
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