Modeling Derivatives in C++

Modeling Derivatives in C++

Justin London


This publication is the definitive and such a lot complete consultant to modeling derivatives in C++ this present day. supplying readers with not just the speculation and math at the back of the types, in addition to the basic techniques of monetary engineering, but in addition real powerful object-oriented C++ code, this can be a sensible creation to crucial spinoff versions utilized in perform this present day, together with fairness (standard and exotics together with barrier, lookback, and Asian) and stuck source of revenue (bonds, caps, swaptions, swaps, credits) derivatives. The e-book presents whole C++ implementations for lots of of an important derivatives and rate of interest pricing versions used on Wall highway together with Hull-White, BDT, CIR, HJM, and LIBOR marketplace version. London illustrates the sensible and effective implementations of those versions in real-world events and discusses the mathematical underpinnings and derivation of the versions in a close but obtainable demeanour illustrated by way of many examples with numerical facts in addition to genuine industry info. A better half CD includes quantitative libraries, instruments, purposes, and assets that might be of price to these doing quantitative programming and research in C++. full of useful suggestion and worthwhile instruments, Modeling Derivatives in C++ can help readers achieve realizing and enforcing C++ while modeling every kind of derivatives.

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