By Alonso Peña Ph.D.
About This Book
- Describes the main mathematical versions used for rate fairness, forex, rates of interest, and credits derivatives
- The advanced versions are defined step by step besides a circulate chart of each implementation
- Illustrates each one asset type with absolutely solved C++ examples, either easy and complicated, that help and supplement the text
Who This ebook Is For
If you're a quantitative analyst, chance supervisor, actuary, or a certified operating within the box of quantitative finance and wish a brief hands-on creation to the pricing of monetary derivatives, this ebook is perfect for you. you need to be acquainted with the elemental programming ideas and C++ programming language. you need to even be accustomed to calculus of undergraduate level.
What you are going to Learn
- Solve advanced pricing difficulties in monetary derivatives utilizing a established technique with the Bento field template
- Explore a few key numerical equipment together with binomial timber, finite alterations, and Monte Carlo simulation
- Develop your knowing of fairness, currency, rate of interest, and credits derivatives via concrete examples
- Implement basic and complicated by-product tools in C++
- Discover an important mathematical types utilized in quantitative finance this day to cost spinoff instruments
- Effectively include item orientated programming (OOP) ideas into the code
This publication 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, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the booklet, the most mathematical versions utilized in the area of monetary derivatives are mentioned. subsequent, the numerical equipment used to resolve the mathematical versions are offered. ultimately, either the mathematical versions and the numerical tools are used to unravel a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The versions used contain the Black-Scholes and Garman-Kohlhagen versions, the LIBOR industry version, structural and depth credits types. The numerical equipment defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial bushes, and Finite distinction equipment. you'll find implementation of concrete difficulties together with ecu name, fairness Basket, foreign money eu name, FX Barrier alternative, rate of interest switch, financial ruin, and credits Default switch in C++.
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Additional resources for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.