|
|
libcats.org
Modeling Derivatives in C++Justin LondonThis book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Популярные книги за неделю:
Система упражнений по развитию способностей человека (Практическое пособие)Автор: Петров Аркадий НаумовичКатегория: Путь к себе
Размер книги: 818 Kb
Сотворение мира (3-х томник)Автор: Петров Аркадий НаумовичКатегория: Путь к себе
Размер книги: 817 Kb
Introduction to Functional Programming (Prentice Hall International Series in Computing Science)Автор: Richard Bird, Автор: Philip WadlerКатегория: Математика, Прикладная математика
Размер книги: 4.73 Mb
The Clean Coder: A Code of Conduct for Professional Programmers (Robert C. Martin Series)Автор: Robert C. Martin
Размер книги: 6.06 Mb
Только что пользователи скачали эти книги:
The Development Dictionary: A Guide to Knowledge as PowerАвтор: Wolfgang Sachs
Размер книги: 1.17 Mb
Paulys Realencyclopadie der classischen Altertumswissenschaft: neue Bearbeitung, Bd.14 2 : Mantikles - Mazaion: Bd XIV, Hbd XIV,2Автор: August Fr. Pauly, Автор: Georg Wissowa, Автор: Wilhelm KrollКатегория: Образование, Энциклопедии
Размер книги: 64.14 Mb
Reason and Emotion: Essays on Ancient Moral Psychology and Ethical TheoryАвтор: John M. CooperКатегория: Психология
Размер книги: 27.46 Mb
History of Free Thought in Reference to The Christian ReligionАвтор: Farrar Adam StoreyКатегория: fiction
Размер книги: 2.12 Mb
|
|
|