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

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An integrated guide to C++ and computational finance

This complete guide to C++ and computational finance is afollow-up and major extension to Daniel J. Duffy's 2004 edition ofFinancial Instrument Pricing Using C++. Both C++ andcomputational finance have evolved and changed dramatically in thelast ten years and this book documents these improvements. Duffyfocuses on these developments and the advantages for the quantdeveloper by:

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

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

Duffy adopted a spiral model approach while writing each chapterof Financial Instrument Pricing Using C++ 2e: analyse alittle, design a little, and code a little. Each cycle ends with aworking prototype in C++ and shows how a given algorithm ornumerical method works. Additionally, each chapter containsnon-trivial exercises and projects that discuss improvements andextensions to the material.

This book is for designers and application developers incomputational finance, and assumes the reader has some fundamentalexperience 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: September 24, 2018
TCIN: 50602485
UPC: 9780470971192
Item Number (DPCI): 248-08-7712
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MSRPReg: $115.00 Save $5.75 (5% off)
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