Financial Instrument Pricing Using C++,2nd Edition

Financial Instrument Pricing Using C++ (Wiley Finance)
by: Daniel J. Duffy
ISBN-10 书号: 0470971193
ISBN-13 书号: 9780470971192
Edition 版次: 2
Release Finelybook 出版日期: 2018-09-24
pages 页数: 1168

Book Description
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.
Full source code is available by registering at
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.
1A Tour of C++and Environs
2 New and Improved C++Fundamentals
3 Modelling Functions in C++
4Advanced C++Template Programming
5 Tuples in C++and their Applications
6Type Traits,Advanced Lambdas and Multiparadigm Design in C++
7 Multiparadigm Design in C++
8 C++Numerics,IEEE 754 and Boost C++Multiprecision
9 An Introduction to Unified Software Design
10 New Data Types,Containers and Algorithms in C++and Boost C++Libraries
11 Lattice Models Fundamental Data Structures and Algorithms
12 Lattice Models Applications to Computational Finance
13 Numerical Linear Algebra: Tridiagonal Systems and Applications
14 Data Visualisation in Excel
15 Univariate Statistical Distributions
16Bivariate Statistical Distributions and Two-Asset Option Pricing
17 STL Algorithms in Detail
18 STL Algorithms Part Ⅱ
19 An Introduction to Optimisation and the Solution of Nonlinear Equations
20The Finite Difference Method for PDEs: Mathematical Background
21 Software Framework for One-Factor Option Models
22 Extending the Software Framework
23 A PDE Software Framework in C++11 for a Class of Path-Dependent Options
24 Ordinary Differential Equations and their Numerical Approximation
25Advanced Ordinary Differential Equations and Method of Lines
26 Random Number Generation and Distributions
27 Microsoft. Net,C# and C++11 lnteroperability
28C++Concurrency,Part I Threads29 C++Concurrency,Part ll Tasks
30 Parallel Patterns Language(PPL)
31 Monte Carlo Simulation,Part132 Monte Carlo Simulation,Part ll


Financial Instrument Pricing Using C++,2nd Edition

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