Numerical Methods in Finance with C++

Erscheinungsjahr 2012
ISBN: 978-1-107-00371-2
Verlag: Cambridge University Press

Buch, Englisch, 175 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 417 g

Reihe: Mastering Mathematical Finance

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.

Autoren/Hrsg.

Capinski, Maciej. J

Zastawniak, Tomasz

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Mathematik | Informatik EDV | Informatik Programmierung | Softwareentwicklung Programmier- und Skriptsprachen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Preface; 1. Binomial pricer; 2. Binomial pricer revisited; 3. American options; 4. Nonlinear solvers; 5. Monte Carlo methods; 6. Finite difference methods; Index.

Über Autor(innen)

Capinski, Maciej. J
Maciej J. Capinski is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer assisted proofs in dynamical systems and celestial mechanics. He has authored eight research publications and supervised over thirty MSc dissertations, mostly in mathematical finance.

Zastawniak, Tomasz
Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.