Numerical Methods in Finance with C++ - Brossura

Libro 2 di 8: Mastering Mathematical Finance

Capinski, Maciej J.

 
9780521177160: Numerical Methods in Finance with C++
Brossura
ISBN 10: 0521177162 ISBN 13: 9780521177160
Casa editrice: Cambridge University Press, 2012

Sinossi

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

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Informazioni sugli autori

Maciej J. Capiński is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer assisted proofs in dynamical systems and celestial mechanics. He has authored eight research publications and supervised over thirty MSc dissertations, mostly in mathematical finance.

Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.

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Editore
Cambridge University Press
Data di pubblicazione
2012
Lingua
Inglese
ISBN 10 
0521177162
ISBN 13 
9780521177160
Rilegatura
Copertina flessibile
Numero di pagine
176
Contatto del produttore
non disponibile
Persona responsabile
non disponibile

Altre edizioni note dello stesso titolo

9781107003712: Numerical Methods in Finance with C++

Edizione in evidenza

ISBN 10:  1107003717 ISBN 13:  9781107003712
Casa editrice: Cambridge University Press, 2012
Rilegato