Numerical methods in finance with C++ / Maciej J. Capinski, Tomasz Zastawniak.

Format:

Book

Author/Creator:

Capiński, Marek, 1951- author.

Zastawniak, Tomasz, 1976- author.

Series:

Mastering mathematical finance.

Mastering mathematical finance

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

C++ (Computer program language).

Physical Description:

1 online resource (x, 166 pages) : digital, PDF file(s).

Place of Publication:

Cambridge : Cambridge University Press, 2012.

Language Note:

English

Summary:

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

Contents:

Cover; Numerical Methods in Finance with C++; Mastering Mathematical Finance; Title; Copyright; Dedication; Contents; Preface; 1: Binomial pricer; 1.1 Program shell; 1.2 Entering data; 1.3 Functions; 1.4 Separate compilation; 1.5 CRR pricer; 1.6 Pointers; 1.7 Function pointers; 1.8 Taking stock; 2: Binomial pricer revisited; 2.1 Our first class; 2.2 Inheritance; 2.3 Virtual functions; 2.4 Summing up; 3: American options; 3.1 Multiple inheritance; 3.2 Virtual inheritance; 3.3 Class templates; 4: Non-linear solvers; 4.1 Implied volatility; 4.2 Bisection method; 4.3 Newton-Raphson method

4.4 Function pointers4.5 Virtual functions; 4.6 Function templates; 4.7 Computing implied volatility; 4.8 Remarks on templates; 5: Monte Carlo methods; 5.1 Path-dependent options; 5.2 Valuation; 5.3 Pricing error; 5.4 Greek parameters; 5.5 Variance reduction; 5.6 Path-dependent basket options; 6: Finite difference methods; 6.1 Parabolic partial differential equations; 6.2 Explicit method; 6.3 Implicit schemes; 6.4 Changing coordinates; 6.5 American options; 6.6 Proofs; Index

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

ISBN:

1-107-23409-3

1-139-53975-2

1-283-52841-X

9786613840868

1-139-52694-4

1-139-52813-0

1-139-52574-3

1-139-53160-3

1-139-53041-0

1-139-01740-3

OCLC:

804664841