Modeling derivatives in C++ / Justin London.

Format:

Book

Author/Creator:

London, Justin, 1973-

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Derivative securities--Data processing.

Derivative securities.

C++ (Computer program language).

Physical Description:

1 online resource (922 p.)

Edition:

1st ed.

Place of Publication:

New York : J. Wiley, c2005.

Language Note:

English

Summary:

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important

Contents:

Modeling Derivatives in C++; Contents; Preface; Acknowledgments; CHAPTER 1 Black-Scholes and Pricing Fundamentals; 1.1 Forward Contracts; 1.2 Black-Scholes Partial Differential Equation; 1.3 Risk-Neutral Pricing; 1.4 Black-Scholes and Diffusion Process Implementation; 1.5 American Options; 1.6 Fundamental Pricing Formulas; 1.7 Change of Numeraire; 1.8 Girsanov's Theorem; 1.9 The Forward Measure; 1.10 The Choice of Numeraire; CHAPTER 2 Monte Carlo Simulation; 2.1 Monte Carlo; 2.2 Generating Sample Paths and Normal Deviates; 2.3 Generating Correlated Normal Random Variables

2.4 Quasi-Random Sequences2.5 Variance Reduction and Control Variate Techniques; 2.6 Monte Carlo Implementation; 2.7 Hedge Control Variates; 2.8 Path-Dependent Valuation; 2.9 Brownian Bridge Technique; 2.10 Jump-Diffusion Process and Constant Elasticity of Variance Diffusion Model; 2.11 Object-Oriented Monte Carlo Approach; CHAPTER 3 Binomial Trees; 3.1 Use of Binomial Trees; 3.2 Cox-Ross-Rubinstein Binomial Tree; 3.3 Jarrow-Rudd Binomial Tree; 3.4 General Tree; 3.5 Dividend Payments; 3.6 American Exercise; 3.7 Binomial Tree Implementation; 3.8 Computing Hedge Statistics

3.9 Binomial Model with Time-Varying Volatility3.10 Two-Variable Binomial Process; 3.11 Valuation of Convertible Bonds; CHAPTER 4 Trinomial Trees; 4.1 Use of Trinomial Trees; 4.2 Jarrow-Rudd Trinomial Tree; 4.3 Cox-Ross-Rubinstein Trinomial Tree; 4.4 Optimal Choice of λ; 4.5 Trinomial Tree Implementations; 4.6 Approximating Diffusion Processes with Trinomial Trees; 4.7 Implied Trees; CHAPTER 5 Finite-Difference Methods; 5.1 Explicit Difference Methods; 5.2 Explicit Finite-Difference Implementation; 5.3 Implicit Difference Method; 5.4 LU Decomposition Method

5.5 Implicit Difference Method Implementation5.6 Object-Oriented Finite-Difference Implementation; 5.7 Iterative Methods; 5.8 Crank-Nicolson Scheme; 5.9 Alternating Direction Implicit Method; CHAPTER 6 Exotic Options; 6.1 Barrier Options; 6.2 Barrier Option Implementation; 6.3 Asian Options; 6.4 Geometric Averaging; 6.5 Arithmetic Averaging; 6.6 Seasoned Asian Options; 6.7 Lookback Options; 6.8 Implementation of Floating Lookback Option; 6.9 Implementation of Fixed Lookback Option; CHAPTER 7 Stochastic Volatility; 7.1 Implied Volatility; 7.2 Volatility Skews and Smiles

7.3 Empirical Explanations7.4 Implied Volatility Surfaces; 7.5 One-Factor Models; 7.6 Constant Elasticity of Variance Models; 7.7 Recovering Implied Volatility Surfaces; 7.8 Local Volatility Surfaces; 7.9 Jump-Diffusion Models; 7.10 Two-Factor Models; 7.11 Hedging with Stochastic Volatility; CHAPTER 8 Statistical Models; 8.1 Overview; 8.2 Moving Average Models; 8.3 Exponential Moving Average Models; 8.4 GARCH Models; 8.5 Asymmetric GARCH; 8.6 GARCH Models for High-Frequency Data; 8.7 Estimation Problems; 8.8 GARCH Option Pricing Model; 8.9 GARCH Forecasting

CHAPTER 9 Stochastic Multifactor Models

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 792-803) and index.

ISBN:

1-280-27286-4

9786610272860

0-471-68189-X

OCLC:

475932160