Financial instrument pricing using C++
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...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
Wiley
2018.
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| Edición: | Second edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009631530306719 |
Tabla de Contenidos:
- A tour of C++ and environs
- New and improved C++ fundamentals
- Modelling functions in C++
- Advanced c++ template programming
- Tuples in c++ and their applications
- Type traits, advanced lambdas and multiparadigm design in C++
- Multiparadigm design in C++
- C++ numerics, IEEE754 and boost C++ multiprecision
- An introduction to unified software design (USD)
- New data types, containers and algorithms in C++ and boost C++ libraries
- Lattice models fundamental data structures and algorithms
- Lattice models applications to computational finance
- Numerical linear algebra : tridiagonal systems and applications
- Data visualisation in Excel
- Univariate statistical distributions
- Bivariate statistical distributions and two-asset option pricing
- STL algorithms in detail
- STL algorithms part II
- An introduction to optimisation and the solution of nonlinear equations
- The finite difference method for PDEs mathematical background
- Software framework for one-factor option models
- Extending the software framework
- A PDE software framework in C++11 for a class of path-dependent options
- Ordinary differential equations and their numerical approximation
- Advanced ordinary differential equations and method of lines (MOL)
- Random number generation and distributions
- Microsoft .net, C# and C++11 interoperability
- C++ concurrency, Part I Threads
- C++ concurrency, part II Tasks
- Parallel patterns language (PPL)
- Monte Carlo simulation, Part I
- Monte Carlo simulation, Part II
- Bibliography
- Appendix
- Index.
