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Numerical methods in finance with C++ /
Provides aspiring quant developers with the numerical techniques and programming skills needed in quantitative finance. No programming background required.
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
2012.
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| Colección: | Mastering mathematical finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Numerical Methods in Finance with C++; Mastering Mathematical Finance; Title; Copyright; Dedication; Contents; Preface; 1: Binomial pricer; 1.1 Program shell; 1.2 Entering data; 1.3 Functions; 1.4 Separate compilation; 1.5 CRR pricer; 1.6 Pointers; 1.7 Function pointers; 1.8 Taking stock; 2: Binomial pricer revisited; 2.1 Our first class; 2.2 Inheritance; 2.3 Virtual functions; 2.4 Summing up; 3: American options; 3.1 Multiple inheritance; 3.2 Virtual inheritance; 3.3 Class templates; 4: Non-linear solvers; 4.1 Implied volatility; 4.2 Bisection method; 4.3 Newton-Raphson method.
- 4.4 Function pointers4.5 Virtual functions; 4.6 Function templates; 4.7 Computing implied volatility; 4.8 Remarks on templates; 5: Monte Carlo methods; 5.1 Path-dependent options; 5.2 Valuation; 5.3 Pricing error; 5.4 Greek parameters; 5.5 Variance reduction; 5.6 Path-dependent basket options; 6: Finite difference methods; 6.1 Parabolic partial differential equations; 6.2 Explicit method; 6.3 Implicit schemes; 6.4 Changing coordinates; 6.5 American options; 6.6 Proofs; Index.