Financial Instrument Pricing Using C++
By (author) Daniel J. Duffy
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Financial Instrument Pricing Using C++ by Daniel J. Duffy
Book DescriptionOne of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book 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, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models.He employs 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; and, cash flow and yield curves. Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get 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.
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Book DetailsISBN: 9780470855096
(253mm x 179mm x 31mm)
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 29-Jun-2004
Country of Publication: United Kingdom
Books By Author Daniel J. Duffy
Financial Modelling, Hardback (September 2012)
* The book enables the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation.
C# for Financial Markets with CD ROM, Hardback (June 2012)
A practice-oriented guide to using C# to design and program pricing and trading models In this step-by-step guide to software development for traders, the authors show both novice and experienced traders how to develop robust and accurate pricing models and employ them in real environments.
Monte Carlo Frameworks, Hardback (September 2009)
This handy guide shows analysts how to construct, design, and implement customizable software frameworks in C++. The authors apply a number of generic frameworks that suit the needs of quantitative finance professionals. As the Monte Carlo simulation has become an essential tool in the pricing of derivatives, this book is timely and practical.
Introduction to C++ for Financial Engineers, Hardback (October 2006)» View all books by Daniel J. Duffy
This book serves as an introductory companion volume to Daniel Duffy's book Financial Instrument Pricing Using C++ (0-470-85509-6). It presents a step-by-step introduction to C++, with numerous examples and applications in finance. It will help bring developers, quantitative analysts, and financial engineers up to speed on C++ quickly.
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Author Biography - Daniel J. Duffy
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 firstname.lastname@example.org
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