Financial Instrument Pricing Using C

This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications.

Financial Instrument Pricing Using C

Financial Instrument Pricing Using C

One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications: Using the Standard Template Library (STL) in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis (numerical linear algebra ?) Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C++ Integration with the ?Gang of Four? Design Patterns Interfacing with Excel (output and Add-Ins) Financial engineering and XML Cash flow and yield curves Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique... Let's all give a warm welcome to modern pricing tools.' -- Paul Wilmott, mathematician, author and fund manager

More Books:

Financial Instrument Pricing Using C++
Language: en
Pages: 432
Authors: Daniel J. Duffy
Categories: Business & Economics
Type: BOOK - Published: 2013-10-23 - Publisher: John Wiley & Sons

One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support
Financial Instrument Pricing Using C++, 2nd Edition
Language: en
Pages: 1168
Authors: Daniel J. Duffy
Categories: C++ (Computer program language)
Type: BOOK - Published: 2018 - Publisher:

Containing non-trivial exercises and projects that discuss improvements and extensions to the material, this text shows how C++ can be applied to the design and implementation of classes, libraries and applications. --
Introduction to C++ for Financial Engineers
Language: en
Pages: 440
Authors: Daniel J. Duffy
Categories: Business & Economics
Type: BOOK - Published: 2013-10-24 - Publisher: John Wiley & Sons

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental
Financial Instrument Pricing Using C++
Language: en
Pages: 1168
Authors: Daniel J. Duffy
Categories: Business & Economics
Type: BOOK - Published: 2018-10-01 - Publisher: John Wiley & Sons

An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and
American Book Publishing Record
Language: en
Pages:
Authors: Daniel J. Duffy
Categories: American literature
Type: BOOK - Published: 2003 - Publisher:

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