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Numerical Methods in Finance with C++

by
Edition:
1st
ISBN13:

9780521177160

ISBN10:
0521177162
Format:
Paperback
Pub. Date:
9/10/2012
Publisher(s):
Cambridge University Press
List Price: $39.99

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This is the 1st edition with a publication date of 9/10/2012.
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Summary

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, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

Table of Contents

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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