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.



Zusammenfassung
This book provides aspiring quant developers with the numerical techniques and programming skills needed in quantitative finance. No programming background required.
Titel
Numerical Methods in Finance with C++
EAN
9781139539753
ISBN
978-1-139-53975-3
Format
E-Book (epub)
Veröffentlichung
02.08.2012
Digitaler Kopierschutz
Adobe-DRM
Dateigrösse
2.9 MB
Jahr
2012
Untertitel
Englisch