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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Produktdetaljer
ISBN
9781139539753
Publisert
2013
Utgave
1. utgave
Utgiver
Cambridge University Press
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter