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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Schlogl, Erik
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boca Raton, FL : CRC Press, ©2014.
Colección:Chapman & Hall/CRC financial mathematics series.
Temas:
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)

MARC

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100 1 |a Schlogl, Erik. 
245 1 0 |a Quantitative finance :  |b an object-oriented approach in C++ /  |c Erik Schlögl. 
260 |a Boca Raton, FL :  |b CRC Press,  |c ©2014. 
300 |a 1 online resource (xv, 332 pages) :  |b illustrations 
336 |a text  |b txt  |2 rdacontent 
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490 1 |a Chapman & Hall/CRC financial mathematics series 
588 0 |a Print version record. 
504 |a Includes bibliographical references (pages 327-332). 
520 |a "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++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web ResourceThe author's website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity."--  |c Provided by publisher 
520 |a "Preface In the forty years since the seminal article by Black and Scholes (1973), quantitative methods have become indispensable in the assessment, pricing and hedging of financial risk. This is most evident in the techniques used to price derivative financial instruments, but permeates all areas of finance. In fact, the option pricing paradigm itself is being increasingly applied in situations that go beyond the traditional calls and puts. In addition to more complex derivatives and structured financial products, which incorporate several sources of risk, option pricing techniques are employed in situations ranging from credit risk assessment to the valuation of real (e.g. plant) investment alternatives. As quantitative finance has become more sophisticated, it has also become more computationally intensive. For most of the techniques to be practically useful, efficient computer implementation is required. The models, especially those incorporating several sources of risk, have also become more complex. Nevertheless, they often exhibit a surprising amount of modularity and commonality in the underlying method and approach. Ideally, one would want to capitalise on this when implementing the models. C++ is the de facto industry standard in quantitative finance, probably for both of these reasons. Especially for models implemented "in-house" at major financial institutions, computationally intensive algorithms are typically coded in C++ and linked into a spreadsheet package serving as a front-end. The object-oriented and generic programming features of C++, when used properly, permit a high degree of code reusability across different models, and the possibility to encapsulate algorithms and data under a well-defined interface makes the maintenance of implemented models fa"--  |c Provided by publisher 
505 0 |a 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. 
505 0 |a 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. 
505 0 |a Excel; Appendix B: Automatic Generation of Documentation Using Doxygen References Index. 
590 |a O'Reilly  |b O'Reilly Online Learning: Academic/Public Library Edition 
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776 0 8 |i Print version:  |a Schlogl, Erik.  |t Quantitative finance.  |d Boca Raton : CRC Press, [2014]  |z 9781584884798  |w (DLC) 2013039513  |w (OCoLC)862041471 
830 0 |a Chapman & Hall/CRC financial mathematics series. 
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