Financial Instrument Pricing Using C++
(Sprache: Englisch)
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO...
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One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates ('write once') and support for legacy C applications.In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
* Using the Standard Template Library (STL) in finance
* Creating your own template classes and functions
* Reusable data structures for vectors, matrices and tensors
* Classes for numerical analysis (numerical linear algebra ...)
* Solving the Black Scholes equations, exact and approximate solutions
* Implementing the Finite Difference Method in C++
* Integration with the 'Gang of Four' Design Patterns
* Interfacing with Excel (output and Add-Ins)
* Financial engineering and XML
* Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.'
-- Paul Wilmott, mathematician, author and fund manager
Inhaltsverzeichnis zu „Financial Instrument Pricing Using C++ “
1 Executive Overview of this BookPART I TEMPLATE PROGRAMMING IN C++
2 A Gentle Introduction to Templates in C++
3 An Introduction to the Standard Template Library
4 STL for Financial Engineering Applications
5 The Property Pattern in Financial Engineering
PART II BUILDING BLOCK CLASSES
6 Arrays, Vectors and Matrices
7 Arrays and Matrix Properties
8 Numerical Linear Algebra
9 Modelling Functions in C++
10 C++ Classes for Statistical Distributions
PART III ORDINARY AND STOCHASTIC DIFFERENTIAL EQUATIONS
11 Numerical Solution of Initial Value Problems: Fundamentals
12 Stochastic Processes and Stochastic Differential Equations
13 Two-Point Boundary Value Problems
14 Matrix Iterative Methods
PART IV PROGRAMMING THE BLACK-SCHOLES ENVIRONMENT
15 An Overview of Computational Finance
16 Finite Difference Schemes for Black-Scholes
17 Implicit Finite Difference Schemes for Black-Scholes
18 Special Schemes for Plain and Exotic Options
19 My First Finite Difference Solver
20 An Introduction to ADI and Splitting Schemes
21 Numerical Approximation of Two-Factor Derivative Models
PART V DESIGN PATTERNS
22 A C++ Application for Displaying Numeric Data
23 Object Creational Patterns
24 Object Structural Patterns
25 Object Behavioural Patterns
PART VI DESIGN AND DEPLOYMENT ISSUES
26 An Introduction to the Extensible Markup Language
27 Advanced XML and Programming Interface
28 Interfacing C++ and Excel
29 Advanced Excel Interfacing
30 An Extended Application: Option Strategies and Portfolios
Appendices
- A1 My C++ refresher
- A2 Dates and other temporal types
- References
- Index
Autoren-Porträt von Daniel J. Duffy
Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at dduffy@datasim.nl
Bibliographische Angaben
- Autor: Daniel J. Duffy
- 2004, 1. Auflage, 432 Seiten, Maße: 25,3 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470855096
- ISBN-13: 9780470855096
Sprache:
Englisch
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