Numerical Methods in Finance with C++

Business & Finance, Economics, Statistics, Nonfiction, Computers, General Computing
Cover of the book Numerical Methods in Finance with C++ by Maciej J. Capiński, Tomasz Zastawniak, Cambridge University Press
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Author: Maciej J. Capiński, Tomasz Zastawniak ISBN: 9781139539753
Publisher: Cambridge University Press Publication: August 2, 2012
Imprint: Cambridge University Press Language: English
Author: Maciej J. Capiński, Tomasz Zastawniak
ISBN: 9781139539753
Publisher: Cambridge University Press
Publication: August 2, 2012
Imprint: Cambridge University Press
Language: English

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.

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

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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