By Alonso Peña Ph.D.
About This Book
- Describes the foremost mathematical versions used for expense fairness, foreign money, rates of interest, and credits derivatives
- The complicated versions are defined step by step in addition to a movement chart of each implementation
- Illustrates every one asset type with absolutely solved C++ examples, either easy and complicated, that aid and supplement the text
Who This ebook Is For
If you're a quantitative analyst, danger supervisor, actuary, or a qualified operating within the box of quantitative finance and need a brief hands-on advent to the pricing of economic derivatives, this publication is perfect for you. try to be acquainted with the fundamental programming ideas and C++ programming language. you want to even be conversant in calculus of undergraduate level.
What you'll Learn
- Solve advanced pricing difficulties in monetary derivatives utilizing a dependent technique with the Bento field template
- Explore a few key numerical tools together with binomial bushes, finite variations, and Monte Carlo simulation
- Develop your knowing of fairness, currency, rate of interest, and credits derivatives via concrete examples
- Implement easy and complicated spinoff tools in C++
- Discover an important mathematical versions utilized in quantitative finance this present day to cost spinoff instruments
- Effectively contain item orientated programming (OOP) rules into the code
This booklet will introduce you to the main mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical types used to resolve them. particularly, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the publication, the most mathematical types utilized in the realm of monetary derivatives are mentioned. subsequent, the numerical equipment used to resolve the mathematical types are awarded. ultimately, either the mathematical types and the numerical equipment are used to unravel a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The types used comprise the Black-Scholes and Garman-Kohlhagen types, the LIBOR industry version, structural and depth credits versions. The numerical equipment defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial timber, and Finite distinction tools. you can find implementation of concrete difficulties together with ecu name, fairness Basket, forex ecu name, FX Barrier choice, rate of interest change, financial ruin, and credits Default switch in C++.
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Additional resources for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.