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

Format:

Book

Author/Creator:

Duffy, Daniel J., author.

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Investments--Mathematical models.

Investments.

Financial engineering.

C++ (Computer program language).

Physical Description:

1 online resource (1,167 pages).

Edition:

Second edition.

Other Title:

Financial instrument pricing using C plus plus

Place of Publication:

Hoboken : Wiley, 2018.

System Details:

text file

Summary:

An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++ . Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by: Delving into a detailed account of the new C++11 standard and its applicability to computational finance. Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity. Developing multiparadigm software using the object-oriented, generic, and functional programming styles. Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns. Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models. Developing applications, from financial model to algorithmic design and code, through a coherent approach. Generating interoperability with Excel add-ins, C#, and C++/CLI. Using random number generation in C++11 and Monte Carlo simulation. Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e : analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing. HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be “C++ Book Source Code Request”. You will receive a reply with a zip file attachment.

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.

Description based on print version record.

ISBN:

9781119170488

1119170486

9781119170495

1119170494

9781119170518

1119170516

OCLC:

1032290430