Alonso Peña Ph.D.'s Advanced Quantitative Finance with C++ PDF

By Alonso Peña Ph.D.

ISBN-10: 1782167226

ISBN-13: 9781782167228

Create and enforce mathematical types in C++ utilizing Quantitative Finance

About This Book

  • Describes the major mathematical versions used for expense fairness, foreign money, rates of interest, and credits derivatives
  • The advanced types are defined step by step in addition to a move chart of each implementation
  • Illustrates each one asset classification with absolutely solved C++ examples, either uncomplicated and complex, that aid and supplement the text

Who This booklet Is For

If you're a quantitative analyst, hazard supervisor, actuary, or a qualified operating within the box of quantitative finance and wish a brief hands-on advent to the pricing of economic derivatives, this publication is perfect for you. try to be conversant in the fundamental programming thoughts and C++ programming language. you might want to even be familiar with calculus of undergraduate level.

What you are going to Learn

  • Solve advanced pricing difficulties in monetary derivatives utilizing a established method with the Bento field template
  • Explore a few key numerical tools together with binomial bushes, finite ameliorations, and Monte Carlo simulation
  • Develop your realizing of fairness, foreign money, rate of interest, and credits derivatives via concrete examples
  • Implement basic and complicated spinoff tools in C++
  • Discover an important mathematical versions utilized in quantitative finance this present day to cost by-product instruments
  • Effectively contain item orientated programming (OOP) rules into the code

In Detail

This booklet will introduce you to the main mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical versions used to resolve them. specifically, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the e-book, the most mathematical versions utilized in the area of economic derivatives are mentioned. subsequent, the numerical tools used to unravel the mathematical versions are provided. ultimately, either the mathematical versions and the numerical equipment are used to unravel a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.

The versions used comprise the Black-Scholes and Garman-Kohlhagen types, the LIBOR marketplace version, structural and depth credits versions. The numerical equipment defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial timber, and Finite distinction tools. you will discover implementation of concrete difficulties together with eu name, fairness Basket, forex ecu name, FX Barrier choice, rate of interest switch, financial disaster, and credits Default switch in C++.

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Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.

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