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.
- 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
Read more
Customer reviews

Not yet reviewed
Be the first to review

Log in to review

Review was not posted due to profanity
×

, create a review

(If you're not , sign out)

Please enter the right captcha value

Please enter a star rating.

Your review must be a minimum of 12 words.

How do you rate this item?

Reviews must contain at least 12 words about the product.

×

Product details
- Date Published: August 2012
- format: Paperback
- isbn: 9780521177160
- length: 175 pages
- dimensions: 227 x 152 x 11 mm
- weight: 0.29kg
- contains: 15 b/w illus. 45 exercises
- availability: In stock
Table of Contents
Preface
1. Binomial pricer
2. Binomial pricer revisited
3. American options
4. Nonlinear solvers
5. Monte Carlo methods
6. Finite difference methods
Index.
Look Inside

General Resources

Resources

Find resources associated with this title

Back to resources home

Type	Name	Unlocked *	Format	Size

Showing of

This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.

Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

If you are having problems accessing these resources please contact lecturers@cambridge.org.

Instructors have used or reviewed this title for the following courses
- Algorithms in Computational Finanace
- C++ for Financial Engineering
- Mathematical Finance ll
Authors
Maciej J. Capiński, AGH University of Science and Technology, Krakow
Maciej J. Capiński is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer assisted proofs in dynamical systems and celestial mechanics. He has authored eight research publications and supervised over thirty MSc dissertations, mostly in mathematical finance.
Tomasz Zastawniak, University of York
Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.