Inhoudsopgave:
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\u003cb\u003eAn integrated guide to C++ and computational finance\u003c/b\u003e \u003cp\u003eThis complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of \u003ci\u003eFinancial Instrument Pricing Using C++\u003c/i\u003e. 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:\u003c/p\u003e \u003cul\u003e \u003cli\u003eDelving into a detailed account of the new C++11 standard and its applicability to computational finance.\u003c/li\u003e \u003cli\u003eUsing de-facto standard libraries, such as \u003ci\u003eBoost\u003c/i\u003e and \u003ci\u003eEigen\u003c/i\u003e to improve developer productivity.\u003c/li\u003e \u003cli\u003eDeveloping multiparadigm software using the object-oriented, generic, and functional programming styles.\u003c/li\u003e \u003cli\u003eDesigning flexible numerical algorithms: modern numerical methods and multiparadigm design patterns.\u003c/li\u003e \u003cli\u003eProviding 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.\u003c/li\u003e \u003cli\u003eDeveloping applications, from financial model to algorithmic design and code, through a coherent approach.\u003c/li\u003e \u003cli\u003eGenerating interoperability with Excel add-ins, C#, and C++/CLI.\u003c/li\u003e \u003cli\u003eUsing random number generation in C++11 and Monte Carlo simulation.\u003c/li\u003e \u003c/ul\u003e \u003cp\u003eFull source code is available by registering at \u003ca href=\"http://www.datasimfinancial.com/\"\u003ewww.datasimfinancial.com\u003c/a\u003e.\u003c/p\u003e \u003cp\u003eDuffy adopted a spiral model approach while writing each chapter of \u003ci\u003eFinancial Instrument Pricing Using C++ 2e\u003c/i\u003e: 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.\u003c/p\u003e \u003cp\u003eThis book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.\u003c/p\u003e |
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