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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 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.Read more
- Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
- The mathematics is rigorous but also motivated, so readers see how to apply what they learn
- Online material includes solutions to exercises and C++ code
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- Date Published: August 2012
- format: Paperback
- isbn: 9780521177160
- length: 175 pages
- dimensions: 227 x 152 x 11 mm
- weight: 0.32kg
- contains: 15 b/w illus. 45 exercises
- availability: Available
Table of Contents
1. Binomial pricer
2. Binomial pricer revisited
3. American options
4. Nonlinear solvers
5. Monte Carlo methods
6. Finite difference methods
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Instructors have used or reviewed this title for the following courses
- Algorithms in Computational Finanace
- C++ for Financial Engineering
- Mathematical Finance ll
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