9780470855096

Financial Instrument Pricing Using C++

by
  • ISBN13:

    9780470855096

  • ISBN10:

    0470855096

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2004-07-30
  • Publisher: WILEY
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Supplemental Materials

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Summary

-- Paul Wilmott, mathematician, author and fund manager

Author Biography

<b>Daniel Duffy</b> works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at dduffy@datasim.nl

Table of Contents

PART I TEMPLATE PROGRAMMING IN C++.
1 Executive Overview of this Book.
2 A Gentle Introduction to Templates in C++.
3 An Introduction to the Standard Template Library (STL).
4 STL for Financial Engineering Applications.
5 The Property Pattern in Financial Engineering.
PART II BUILDING BLOCK CLASSES.
6 Array, Vectors and Matrices.
7 Arrays and Matrix Properties.
8 Numerical Linear Algebra.
9 Modelling Functions in C++.
10 C++ Classes for Statistical Distribution.
PART III ORDINARY AND STOCHASTIC DIFFERENTIAL EQUATIONS.
11 Numerical Solution of Initial Value Problems: Fundamentals.
12 Stochastic Processes and Stochastic Differential Equations (SDE).
13 Two-point Boundary Value Problems.
14 Matrix Iterative Methods. PART IV PROGRAMMING THE BLACK SCHOLES ENVIRONMENT.
15 An Overview of Computational Finance.
16 Introducing Finite Difference Schemes for Black Scholes: A Gentle Introduction.
17 Implicit Finite Difference Schemes for Black Scholes.
18 Special Schemes for Plain and Exotic Options.
19 My First Finite Difference Solver.
20 An Introduction to ADI and Splitting Schemes.
21 Numerical Approximation of Two-Factor Derivative Models.

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