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Both a textbook for students as well as a reference guide for professionals, Quantitative Finance: An Object-Oriented Approach in C++ builds a foundation in the key methods and models of quantitative finance from the perspective of their implementation in C++. It introduces computational finance in a pragmatic manner, focusing on practical implementation. The author takes an object-oriented approach that starts from simple building blocks for assembling more complex and powerful models. The author expresses models and algorithms of the industry-standard C++ language and includes working C++ source code on a CD-ROM that accompanies the book.
Table of Contents
A Brief Review of the C++ Programming Language
Basic Building Blocks
Portfolio Optimization and Asset Pricing
The Black/Scholes World
Finite Difference Methods for Partial Differential Equations
Implied Volatility and Implied Distributions
Monte Carlo Simulation
The Heath/Jarrow/Morton Model
The Lognormal Forward Rate "Market Models"
Case Studies of the Object-Oriented Approach
Table of Contents provided by Publisher. All Rights Reserved.