Numerical Methods in Finance with C++ (Paperback) (ISBN-13: 9780521177160)

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.

Author: Maciej J. Capiński, Tomasz Zastawniak
ISBN-10: 0521177162
ISBN-13: 9780521177160
Publisher: Cambridge University Press
Language: English
Published: 08/02/2012
Pages: 175
Format: Paperback
Weight: 0.70lbs
Size: 8.90h x 5.80w x 0.50d