Duffy, Daniel J.

Financial Instrument Pricing Using C++

Duffy, Daniel J. - Financial Instrument Pricing Using C++, ebook


Ebook, ePUB with Adobe DRM
ISBN: 9781119170488
DRM Restrictions

Printing350 pages with an additional page accrued every 3 hours, capped at 350 pages
Copy to clipboard5 excerpts

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.


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 receivea reply with a zip file attachment.

Keywords: Financial Instrument Pricing Using C++ 2nd Edition with full source code; Daniel J. Duffy; Datasim Education; computational finance; finance programming; C++ in finance; instrument pricing; finance modelling; C++ modelling; C++11; C++ libraries; C++ Black Scholes equations; state-of-the-art C++ Finite Difference methods; financial engineering; Boost C++ libraries; Nonlinear pricing models ; next generation C++ design patterns; improved instrument pricing; pricing accuracy; pricing models; C++ with Excel and C# interoperability; Gang of Four Design Patterns rewritten and extended; parallel processing and multithreading

John Wiley and Sons, Inc.
Publication year
Wiley Finance
Page amount
1168 pages
Printed ISBN

Similar titles