Nonfiction | Business & Investing

Numerical Methods in Finance with C++

by Maciej J. Capinski

2020-09-01 22:12:59

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Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous e... Read more
Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance. Less

Book Details

File size9.29 X 6.14 X 0.59 in
Print pages175
PublisherCambridge University Press
Publication date August 2, 2012
Languageeng
ISBN9781139533980
autor-image
Maciej J. Capinski
Author
...

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