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London, Justin

Modeling Derivatives in C++

London, Justin - Modeling Derivatives in C++, ebook

99,20€

Ebook, PDF with Adobe DRM
ISBN: 9780471681892
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Printing206 pages with an additional page accrued every 4 hours, capped at 206 pages
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This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

Keywords: BUSINESS & ECONOMICS / Strategic Planning BUS063000

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2005
Language
en
Edition
1
Series
Wiley Finance
Page amount
688 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780471681892
Printed ISBN
9780471654643

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