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Daniel Duffy – Financial Instruments Pricing Using C++
Jan
Daniel Duffy – Financial Instruments Pricing Using C++
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Price: $86.08
Hardcover: 432 pages
Publisher: Wiley; 1 edition (July 30, 2004)
Language: English
ISBN-10: 0470855096
ISBN-13: 978-0470855096
Product Dimensions: 6.9 x 1.3 x 9.9 inches
Shipping Weight: 2.3 pounds (View shipping rates and policies)
Average Customer Review: 3.5 out of 5 stars See all reviews (11 customer reviews)
Amazon Best Sellers Rank: #731,053 in Books (See Top 100 in Books)
One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It 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 we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ 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 that you can use directly. This will get you 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
About the Author
Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at [email protected]
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