By Alonso Peña Ph.D.
About This Book
- Describes the most important mathematical types used for rate fairness, forex, rates of interest, and credits derivatives
- The complicated versions are defined step by step in addition to a move chart of each implementation
- Illustrates every one asset type with absolutely solved C++ examples, either simple and complicated, that help and supplement the text
Who This booklet Is For
If you're a quantitative analyst, threat supervisor, actuary, or a certified operating within the box of quantitative finance and wish a short hands-on advent to the pricing of monetary derivatives, this publication is perfect for you. try to be accustomed to the fundamental programming thoughts and C++ programming language. you might want to even be conversant in calculus of undergraduate level.
What you'll Learn
- Solve complicated pricing difficulties in monetary derivatives utilizing a based strategy with the Bento field template
- Explore a few key numerical equipment together with binomial timber, finite adjustments, and Monte Carlo simulation
- Develop your realizing of fairness, currency, rate of interest, and credits derivatives via concrete examples
- Implement basic and intricate spinoff tools in C++
- Discover crucial mathematical versions utilized in quantitative finance at the present time to cost spinoff instruments
- Effectively include item orientated programming (OOP) rules into the code
This publication will introduce you to the main mathematical types 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 booklet, the most mathematical types utilized in the area of economic derivatives are mentioned. subsequent, the numerical tools used to resolve the mathematical versions are provided. ultimately, either the mathematical versions and the numerical equipment are used to unravel a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The types used contain the Black-Scholes and Garman-Kohlhagen versions, the LIBOR industry version, structural and depth credits types. The numerical tools defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial bushes, and Finite distinction equipment. you will discover implementation of concrete difficulties together with ecu name, fairness Basket, foreign money eu name, FX Barrier choice, rate of interest change, financial ruin, and credits Default change in C++.
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Extra info for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.