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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 |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Birmingham :
Packt Publishing,
2014.
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| Colección: | Community experience distilled.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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
- 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++
- 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