Financial Instrument Pricing Using C++, 2/e (Hardcover)

Daniel J. Duffy

  • 出版商: Wiley
  • 出版日期: 2018-10-09
  • 定價: $4,150
  • 售價: 9.5$3,943
  • 語言: 英文
  • 頁數: 1168
  • 裝訂: Hardcover
  • ISBN: 0470971193
  • ISBN-13: 9780470971192
  • 相關分類: C++ 程式語言
  • 立即出貨 (庫存=1)

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商品描述

An integrated guide to C++ and computational finance

This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:

  • Delving into a detailed account of the new C++11 standard and its applicability to computational finance.
  • Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity.
  • Developing multiparadigm software using the object-oriented, generic, and functional programming styles.
  • Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns.
  • Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models.
  • Developing applications, from financial model to algorithmic design and code, through a coherent approach.
  • Generating interoperability with Excel add-ins, C#, and C++/CLI.
  • Using random number generation in C++11 and Monte Carlo simulation.

Full source code is available by registering at www.datasimfinancial.com.

Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material.

This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.

商品描述(中文翻譯)

一本整合了C++和計算金融的指南

這本完整的C++和計算金融指南是Daniel J. Duffy 2004年版《使用C++進行金融工具定價》的後續和重要擴展。在過去的十年中,C++和計算金融都有了巨大的發展和變化,這本書記錄了這些改進。Duffy專注於這些發展以及對量化開發人員的優勢,包括:

- 深入介紹新的C++11標準及其在計算金融中的應用。
- 使用事實上的標準庫,如Boost和Eigen,提高開發人員的生產力。
- 使用面向對象、泛型和函數式編程風格開發多範式軟件。
- 設計靈活的數值算法:現代數值方法和多範式設計模式。
- 通過六章詳細解釋有限差分方法,包括ADE、Method of Lines(MOL)和不確定波動率模型等新發展。
- 通過一致的方法,從金融模型到算法設計和代碼開發,開發應用程序。
- 生成與Excel插件、C#和C++/CLI的互操作性。
- 在C++11中使用隨機數生成和蒙特卡羅模擬。

完整的源代碼可在www.datasimfinancial.com註冊後獲得。

Duffy在撰寫《使用C++進行金融工具定價2e》的每一章時採用了螺旋模型方法:進行一點分析,進行一點設計,進行一點編碼。每個循環都以C++中的工作原型結束,並展示了特定算法或數值方法的工作原理。此外,每一章還包含非平凡的練習和項目,討論了對材料的改進和擴展。

本書適用於計算金融的設計師和應用程序開發人員,並假設讀者具有一些C++和衍生品定價的基本經驗。