Financial Instrument Pricing Using C++

Business & Finance, Finance & Investing, Finance
Cover of the book Financial Instrument Pricing Using C++ by Daniel J. Duffy, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Daniel J. Duffy ISBN: 9781118856475
Publisher: Wiley Publication: October 23, 2013
Imprint: Wiley Language: English
Author: Daniel J. Duffy
ISBN: 9781118856475
Publisher: Wiley
Publication: October 23, 2013
Imprint: Wiley
Language: English

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

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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:

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

More books from Wiley

Cover of the book Vegetable Gardening For Dummies by Daniel J. Duffy
Cover of the book Extremophiles by Daniel J. Duffy
Cover of the book The Handbook of Hispanic Sociolinguistics by Daniel J. Duffy
Cover of the book World at Risk by Daniel J. Duffy
Cover of the book Cities of Europe by Daniel J. Duffy
Cover of the book Research Methods for Construction by Daniel J. Duffy
Cover of the book A Concise History of the Haitian Revolution by Daniel J. Duffy
Cover of the book The Secret Language of Business by Daniel J. Duffy
Cover of the book The Rise of the Civilizational State by Daniel J. Duffy
Cover of the book The 15 Essential Marketing Masterclasses for Your Small Business by Daniel J. Duffy
Cover of the book Advanced Ceramic Coatings and Materials for Extreme Environments III by Daniel J. Duffy
Cover of the book Quaternary Carbonate and Evaporite Sedimentary Facies and Their Ancient Analogues by Daniel J. Duffy
Cover of the book Real-time Systems Scheduling 1 by Daniel J. Duffy
Cover of the book The Conquest of Mexico by Daniel J. Duffy
Cover of the book One-Dimensional Nanostructures by Daniel J. Duffy
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy