Modeling Derivatives in C++ INCL CD-ROM (Wiley Finance) von London

Wiley Finance

ISBN 10: 0471654647 / ISBN 13: 9780471654643

Editore: Wiley Finance Auflage: Pap/Cdr (7. Januar 2005), 2005

Riguardo questo articolo

London equity bonds caps swaptions swaps credit derivatives Wall Street Hull-White BDT CIR HJM LIBOR Market Model interest rate pricing financial engineering This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, "Modeling Derivatives in C++" will help readers succeed in understanding and implementing C++ when modeling all types of derivatives. Modeling Derivatives in C++ INCL CD-ROM (Wiley Finance) von London In englischer Sprache. 768 pages. 23,2 x 19,2 x 4,8 cm.

Codice articolo BN2696

Dati bibliografici

• Titolo: Modeling Derivatives in C++ INCL CD-ROM (Wiley Finance) von London
• Editore: Wiley Finance Auflage: Pap/Cdr (7. Januar 2005)
• Data di pubblicazione: 2005
• Lingua: Inglese
• ISBN 10: 0471654647
• ISBN 13: 9780471654643
• Rilegatura: Softcover
• Edizione: Auflage: Pap/Cdr (7. Januar 2005).
• Condizione: gut
• Peso: 2000 grammi

Descrizione articolo

Riassunto

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

Informazioni sull?autore

JUSTIN LONDON has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed-income derivatives with a focus on building interest rate models. In 1999, he founded Global Max Trading (GMT), a global online trading and financial technology company. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.