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Quantitative finance : an object-oriented approach in C++ /
"Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Th...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Boca Raton, FL :
CRC Press,
©2014.
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| Colección: | Chapman & Hall/CRC financial mathematics series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- A Brief Review of the C++ Programming Language; Getting started; Procedural programming in C++; Object-oriented features of C++; Templates; Exceptions; Namespaces Basic Building Blocks ; The Standard Template Library (STL); The Boost Libraries; Numerical arrays; Numerical integration; Optimisation and root search; The term structure of interest rates Lattice Models for Option Pricing ; Basic concepts of pricing by arbitrage; Hedging and arbitrage-free pricing; Defining a general lattice model interface; Implementing binomial lattice models; Models for the term structure of interest rates The Black/Scholes World ; Martingales; Option pricing in continuous time; Exotic options with closed form solutions; Implementation of closed form solutions; American options Finite Difference Methods ; The object-oriented.
- Interface; The explicit finite difference method; The implicit finite difference method; The Crank/Nicolson scheme Implied Volatility and Volatility Smiles; Calculating implied distributions; Constructing an implied volatility surface; Stochastic volatility Monte Carlo Simulation; Background; The generic Monte Carlo algorithm; Simulating asset price processes; Discretising stochastic differential equations; Predictor-corrector methods; Variance reduction techniques; Pricing instruments with early exercise features; Quasi-random Monte Carlo The Heath/Jarrow/Morton Model; The model framework; Gauss/Markov HJM; Option pricing in the Gaussian HJM framework; Adding a foreign currency; Implementing closed-form solutions; Monte Carlo simulation in the HJM framework; Implementing Monte Carlo simulation Appendix A: Interfacing between C++ and Microsoft.
- Excel; Appendix B: Automatic Generation of Documentation Using Doxygen References Index.