Financial instrument pricing using C++ by Daniel J. Duffy

Financial instrument pricing using C++



Download Financial instrument pricing using C++




Financial instrument pricing using C++ Daniel J. Duffy ebook
Language: English
Page: 418
Format: chm
ISBN: 0470855096, 9780470855096
Publisher: Wiley

Designing and Implementing Software for Financial Instrument Pricing provides a step by step account of how to price financial derivatives using C++, design patterns and state-of-the-art numerical schemes and methods.

Written for those involved in the design and implementation of numerical models for financial derivative products, author Daniel Duffy takes a practical approach to realising these goals using C++, design patterns and state of the art numerical schemes and methods.

From the Back Cover

One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (‘write once’) and support for legacy C applications.

In this book we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ modern software engineering techniques to produce industrial-strength applications: - Using the Standard Template Library (STL) in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis (numerical linear algebra …) Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C++ Integration with the ‘Gang of Four’ Design Patterns Interfacing with Excel (output and Add-Ins) Financial engineering and XML Cash flow and yield curves

Included with the book is a CD containing the source code in the Datasim Financial Toolkit that you can use directly. This will get you up to speed with your C++ applications by reusing existing classes and libraries.

'Unique... Let's all give a warm welcome to modern pricing tools.' Paul Wilmott, mathematician, author and fund manager

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