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Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++ PDF Author: Daniel J. Duffy
Publisher:
ISBN:
Category : C++ (Computer program language)
Languages : en
Pages : 418

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Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++ PDF Author: Daniel J. Duffy
Publisher:
ISBN:
Category : C++ (Computer program language)
Languages : en
Pages : 418

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Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++ PDF Author: Daniel J. Duffy
Publisher: John Wiley & Sons
ISBN: 0470971193
Category : Business & Economics
Languages : en
Pages : 1168

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Book Description
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. 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. HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be “C++ Book Source Code Request”. You will receive a reply with a zip file attachment.

Introduction to C++ for Financial Engineers

Introduction to C++ for Financial Engineers PDF Author: Daniel J. Duffy
Publisher: John Wiley & Sons
ISBN: 1118856465
Category : Business & Economics
Languages : en
Pages : 440

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Book Description
This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Financial Modeling Using C++

Financial Modeling Using C++ PDF Author: Chandan Sengupta
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 584

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Book Description
A detailed look at developing real-world financial models using C++ This book, designed for self-study, reference, and classroom use, outlines a comprehensive approach to creating both simple and advanced financial models using C++. Author and modeling expert Chandan Sengupta covers programming, the C++ language, and financial modeling from the ground up-assuming no prior knowledge in these areas-and shows through numerous examples how to combine these skills with financial theory and mathematics to develop practical financial models. Since C++ is the computer language used most often to develop large-scale financial models and systems, readers will find this work-which includes a CD-ROM containing the models and codes from the book-an essential asset in their current modeling endeavors. Chandan Sengupta (White Plains, NY) teaches finance in the MBA program at the Fordham University Graduate School of Business. He is also the author of Financial Modeling Using Excel and VBA (0-471-26768-6).

Computational Finance Set

Computational Finance Set PDF Author: George Levy
Publisher: Academic Press
ISBN: 9780123747105
Category : Business & Economics
Languages : en
Pages : 840

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Book Description
This set contains two previously published books on computational finance: Computational Finance presents a modern computational approach to mathematical finance within the Windows environment. George Levy illustrates how numeric components can be developed by Financial Analysts that allow financial routines on the computer to be more easily performed. This book contains a bound in CD-ROM. In Computational Finance Using C and C#, Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm's internal software and code requirements. Levy also provides derivatives pricing information for equity derivates, interest rate derivatives, foreign exchange derivatives, and credit derivatives. A unique password is bound into every book, giving the reader access to additional software on password protected website. *Shows how to incorporate advanced financial modelling techniques in Windows compatible software * Includes CD-ROM with adaptive software * Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options *Complete financial instrument pricing code in standard C and C# available to book buyers on companion website * Provides software design patterns in C and C# and the use of SQL server

Advanced Quantitative Finance with C++

Advanced Quantitative Finance with C++ PDF Author: Alonso Peña
Publisher: Packt Pub Limited
ISBN: 9781782167228
Category : Computers
Languages : en
Pages : 124

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Book Description
The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice. If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level.

Official Journal of the European Communities

Official Journal of the European Communities PDF Author:
Publisher:
ISBN:
Category : European communities
Languages : en
Pages :

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Directory of Pension Funds and Their Investment Managers

Directory of Pension Funds and Their Investment Managers PDF Author:
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages :

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Largest pension and tax-exempt funds.

Managing Commodity Price Risk in Developing Countries

Managing Commodity Price Risk in Developing Countries PDF Author: Stijn Claessens
Publisher: Johns Hopkins University Press
ISBN:
Category : Business & Economics
Languages : en
Pages : 490

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Book Description
Primary commodities represent more than one-half of the export earnings of many developing countries. The large fluctuations that can occur in the prices of such commodities are therefore a main economic difficulty for these countries. New financial techniques can lower the risk caused by these price changes over longer periods and allow financial obligations to be linked to commodity prices. But few developing countries have used these techniques. This book shows policymakers in developing countries how to use the full range of new and established financial techniques. Through case studies, it provides detailed information about the techniques, analyzes the institutional constraints on them, and illustrates the kinds of technical assistance needed to make good use of them. It also describes the instruments, the markets, and the current regulatory framework. For the past several years, the World Bank has assisted developing countries in managing commodity price risk. The book draws extensively on the lessons learned from this assistance to demonstrate that developing countries can benefit significantly from using financial techniques to manage their risk.

Taxation of Financial Instruments

Taxation of Financial Instruments PDF Author:
Publisher:
ISBN:
Category : Financial instruments
Languages : en
Pages : 396

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