By Alonso Peña Ph.D.

ISBN-10: 1782167226

ISBN-13: 9781782167228

Create and enforce mathematical versions in C++ utilizing Quantitative Finance

About This Book

  • Describes the foremost mathematical versions used for expense fairness, foreign money, rates of interest, and credits derivatives
  • The complicated versions are defined step by step besides a circulate chart of each implementation
  • Illustrates each one asset type with totally solved C++ examples, either uncomplicated and complex, that aid and supplement the text

Who This e-book Is For

If you're a quantitative analyst, danger supervisor, actuary, or a certified operating within the box of quantitative finance and need a short hands-on creation to the pricing of monetary derivatives, this ebook is perfect for you. you need to be conversant in the fundamental programming recommendations and C++ programming language. you need to even be familiar with calculus of undergraduate level.

What you'll Learn

  • Solve complicated pricing difficulties in monetary derivatives utilizing a dependent procedure with the Bento field template
  • Explore a few key numerical equipment together with binomial bushes, finite adjustments, and Monte Carlo simulation
  • Develop your knowing of fairness, foreign money, rate of interest, and credits derivatives via concrete examples
  • Implement uncomplicated and intricate by-product tools in C++
  • Discover an important mathematical versions utilized in quantitative finance at the present time to cost spinoff instruments
  • Effectively contain item orientated programming (OOP) rules into the code

In Detail

This publication will introduce you to the most important mathematical versions used to cost monetary derivatives, in addition to the implementation of major numerical versions used to unravel them. particularly, fairness, forex, rates of interest, and credits derivatives are mentioned. within the first a part of the ebook, the most mathematical types utilized in the realm of economic derivatives are mentioned. subsequent, the numerical equipment used to unravel the mathematical versions are offered. eventually, either the mathematical types and the numerical tools are used to unravel a few concrete difficulties in fairness, foreign money, rate of interest, and credits derivatives.

The types used comprise the Black-Scholes and Garman-Kohlhagen types, the LIBOR marketplace version, structural and depth credits types. The numerical equipment defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial timber, and Finite distinction tools. you can find implementation of concrete difficulties together with eu name, fairness Basket, forex ecu name, FX Barrier alternative, rate of interest switch, financial ruin, and credits Default change in C++.

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Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.

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