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Description - Financial Instrument Pricing Using C++ by Daniel J. Duffy

This book describes in a step-by-step fashion how to create software for pricing financial instruments such as bonds, options and interest rate products in C++. Paying particular attention to issues such as C++ design and implementation, design patterns, finite difference methods and advanced software environments this is an essential reference for 'quants', financial modellers and software developers.

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Book Details

ISBN: 9780470855096
ISBN-10: 0470855096
Format: Hardback
(253mm x 179mm x 31mm)
Pages: 432
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 29-Jun-2004
Country of Publication: United Kingdom

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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 dduffy@datasim.nl

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