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 financeCreating your own template classes and functionsReusable data structures for vectors, matrices and tensorsClasses for numerical analysis (numerical linear algebra ?)Solving the Black Scholes equations, exact and approximate solutionsImplementing the Finite Difference Method in C++Integration with the ?Gang of Four? Design PatternsInterfacing with Excel (output and Add-Ins)Financial engineering and XMLCash 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
Or split into 4x interest-free payments of 25% on orders over R50
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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 financeCreating your own template classes and functionsReusable data structures for vectors, matrices and tensorsClasses for numerical analysis (numerical linear algebra ?)Solving the Black Scholes equations, exact and approximate solutionsImplementing the Finite Difference Method in C++Integration with the ?Gang of Four? Design PatternsInterfacing with Excel (output and Add-Ins)Financial engineering and XMLCash 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
Imprint | John Wiley & Sons |
Country of origin | United States |
Release date | June 2004 |
Availability | Expected to ship within 12 - 17 working days |
First published | July 2004 |
Authors | DJ Duffy |
Dimensions | 244 x 172 x 33mm (L x W x T) |
Format | Hardcover |
Pages | 432 |
Edition | New |
ISBN-13 | 978-0-470-85509-6 |
Barcode | 9780470855096 |
Categories | |
LSN | 0-470-85509-6 |