Numerical Methods in Finance With C++
ISBN: 9781107003712 | 1107003717
Edition: 1stFormat: Hardcover
Publisher: Cambridge Univ Pr
Pub. Date: 8/31/2012
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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, a... MORE
| Preface | |
| Binomial pricer | |
| Binomial pricer revisited | |
| American options | |
| Nonlinear solvers | |
| Monte Carlo methods | |
| Finite difference methods | |
| Index | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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