1 option
Financial instrument pricing using C++ / Daniel J. Duffy.
Lippincott Library HG4515.2 .D85 2018
Available
- Format:
- Book
- Author/Creator:
- Duffy, Daniel J., author.
- Series:
- Wiley finance series
- Language:
- English
- Subjects (All):
- Investments--Mathematical models.
- Investments.
- Financial engineering.
- C++ (Computer program language).
- Physical Description:
- xxi, 1142 pages : illustrations ; 25 cm.
- Edition:
- Second edition.
- Place of Publication:
- Hoboken : Wiley, [2018]
- Contents:
- A tour of C++ and environs
- New and improved C++ fundamentals
- Modelling functions in C++
- Advanced c++ template programming
- Tuples in c++ and their applications
- Type traits, advanced lambdas and multiparadigm design in C++
- Multiparadigm design in C++
- C++ numerics, IEEE754 and boost C++ multiprecision
- An introduction to unified software design (USD)
- New data types, containers and algorithms in C++ and boost C++ libraries
- Lattice models fundamental data structures and algorithms
- Lattice models applications to computational finance
- Numerical linear algebra : tridiagonal systems and applications
- Data visualisation in Excel
- Univariate statistical distributions
- Bivariate statistical distributions and two-asset option pricing
- STL algorithms in detail
- STL algorithms part II
- An introduction to optimisation and the solution of nonlinear equations
- The finite difference method for PDEs mathematical background
- Software framework for one-factor option models
- Extending the software framework
- A PDE software framework in C++11 for a class of path-dependent options
- Ordinary differential equations and their numerical approximation
- Advanced ordinary differential equations and method of lines (MOL)
- Random number generation and distributions
- Microsoft .net, C# and C++11 interoperability
- C++ concurrency, Part I Threads
- C++ concurrency, part II Tasks
- Parallel patterns language (PPL)
- Monte Carlo simulation, Part I
- Monte Carlo simulation, Part II
- Bibliography
- Appendix
- Index.
- Notes:
- Revised and updated edition of the author's Financial instrument pricing using C++, c2004.
- Includes bibliographical references and index.
- Other Format:
- Online version: Duffy, Daniel J. Financial instrument pricing using C++.
- ISBN:
- 9780470971192
- 0470971193
- OCLC:
- 1032288243
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