ENGLISH

Numerical Methods in Finance with C++

By Tomasz Zastawniak , Maciej J. Capiński

Book information

Publisher
Cambridge University Press
Year
2012
ISBN
1107003717, 9781107003712, 9780521177160
Language
english
Format
PDF
Filesize
708 kB (725180 bytes)
Series
Mastering Mathematical Finance
Edition
1
Pages
175\177
Scanned
yes
Time added
2014-05-12 22:50:52
Финансово-экономические дисциплины;Математические

Description

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.

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