Financial instrument pricing using C++ / / Daniel J. Duffy.

• Superior document: Wiley finance series
• VerfasserIn: Duffy, Daniel J.,
• Place / Publishing House: Hoboken : : Wiley,, 2018.
• Year of Publication: 2018
• Edition: Second edition.
• Language: English
• Series: Wiley finance series.
• Physical Description: 1 online resource (1,167 pages).
• Notes: Revised and updated edition of the author's Financial instrument pricing using C++, c2004.

Table of Contents

• A tour of C++ and environs
• New and improved C++ fundamentals
• Modelling functions in C++
• Advanced c++ template programming
• Tuples in c++ and their applications
• Type traits, advanced lambdas and multiparadigm design in C++
• Multiparadigm design in C++
• C++ numerics, IEEE754 and boost C++ multiprecision
• An introduction to unified software design (USD)
• New data types, containers and algorithms in C++ and boost C++ libraries
• Lattice models fundamental data structures and algorithms
• Lattice models applications to computational finance
• Numerical linear algebra : tridiagonal systems and applications
• Data visualisation in Excel
• Univariate statistical distributions
• Bivariate statistical distributions and two-asset option pricing
• STL algorithms in detail
• STL algorithms part II
• An introduction to optimisation and the solution of nonlinear equations
• The finite difference method for PDEs mathematical background
• Software framework for one-factor option models
• Extending the software framework
• A PDE software framework in C++11 for a class of path-dependent options
• Ordinary differential equations and their numerical approximation
• Advanced ordinary differential equations and method of lines (MOL)
• Random number generation and distributions
• Microsoft .net, C# and C++11 interoperability
• C++ concurrency, Part I Threads
• C++ concurrency, part II Tasks
• Parallel patterns language (PPL)
• Monte Carlo simulation, Part I
• Monte Carlo simulation, Part II
• Bibliography
• Appendix
• Index.