By Alonso Peña Ph.D.
About This Book
- Describes the most important mathematical types used for expense fairness, forex, rates of interest, and credits derivatives
- The advanced types are defined step by step in addition to a circulation chart of each implementation
- Illustrates each one asset classification with absolutely solved C++ examples, either simple and complicated, that aid and supplement the text
Who This ebook Is For
If you're a quantitative analyst, probability supervisor, actuary, or a certified operating within the box of quantitative finance and need a brief hands-on advent to the pricing of monetary derivatives, this e-book is perfect for you. you need to be accustomed to the elemental programming recommendations and C++ programming language. you want to even be accustomed to calculus of undergraduate level.
What you are going to Learn
- Solve complicated pricing difficulties in monetary derivatives utilizing a established technique with the Bento field template
- Explore a few key numerical tools together with binomial bushes, finite adjustments, and Monte Carlo simulation
- Develop your realizing of fairness, foreign money, rate of interest, and credits derivatives via concrete examples
- Implement easy and complicated by-product tools in C++
- Discover an important mathematical types utilized in quantitative finance at the present time to cost spinoff instruments
- Effectively comprise item orientated programming (OOP) rules into the code
This ebook will introduce you to the major mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical types used to unravel them. particularly, fairness, forex, rates of interest, and credits derivatives are mentioned. within the first a part of the booklet, the most mathematical versions utilized in the realm of monetary derivatives are mentioned. subsequent, the numerical tools used to unravel the mathematical versions are offered. ultimately, either the mathematical versions and the numerical tools are used to resolve a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The versions used contain the Black-Scholes and Garman-Kohlhagen types, the LIBOR industry version, structural and depth credits versions. The numerical equipment defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial timber, and Finite distinction tools. you will discover implementation of concrete difficulties together with ecu name, fairness Basket, forex eu name, FX Barrier choice, rate of interest switch, financial disaster, and credits Default switch in C++.
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Additional info for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.