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Financial Instrument Pricing Using C++ - (Wiley Finance) by Daniel J. Duffy (Hardcover)

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About this item

An integrated guide to C++ and computational finance

This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:

  • Delving into a detailed account of the new C++11 standard and its applicability to computational finance.
  • Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity.
  • Developing multiparadigm software using the object-oriented, generic, and functional programming styles.
  • Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns.
  • Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models.
  • Developing applications, from financial model to algorithmic design and code, through a coherent approach.
  • Generating interoperability with Excel add-ins, C#, and C++/CLI.
  • Using random number generation in C++11 and Monte Carlo simulation.

Full source code is available by registering at www.datasimfinancial.com.

Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material.

This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.

Number of Pages: 160
Genre: Business + Money Management, Computers + Internet
Sub-Genre: Finance, Programming Languages / C++
Series Title: Wiley Finance
Format: Hardcover
Publisher: John Wiley & Sons Inc
Author: Daniel J. Duffy
Language: English
Street Date: August 7, 2017
TCIN: 50602485
UPC: 9780470971192
Item Number (DPCI): 248-08-7712
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