By Alonso Peña Ph.D.
About This Book
- Describes the most important mathematical types used for cost fairness, forex, rates of interest, and credits derivatives
- The advanced versions are defined step by step besides a circulate chart of each implementation
- Illustrates every one asset classification with totally solved C++ examples, either easy and complex, that help and supplement the text
Who This e-book Is For
If you're a quantitative analyst, danger supervisor, actuary, or a qualified operating within the box of quantitative finance and wish a short hands-on advent to the pricing of economic derivatives, this ebook is perfect for you. try to be accustomed to the fundamental programming techniques and C++ programming language. you need to even be accustomed to calculus of undergraduate level.
What you are going to Learn
- Solve advanced pricing difficulties in monetary derivatives utilizing a based procedure with the Bento field template
- Explore a few key numerical equipment together with binomial timber, finite alterations, and Monte Carlo simulation
- Develop your figuring out of fairness, foreign money, rate of interest, and credits derivatives via concrete examples
- Implement easy and complicated spinoff tools in C++
- Discover an important mathematical types utilized in quantitative finance at the present time to cost spinoff instruments
- Effectively include item orientated programming (OOP) rules into the code
This e-book will introduce you to the major mathematical versions used to cost monetary derivatives, in addition to the implementation of major numerical types used to resolve them. particularly, fairness, forex, 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 tools used to unravel the mathematical types are provided. ultimately, either the mathematical versions and the numerical equipment are used to resolve a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The versions used comprise the Black-Scholes and Garman-Kohlhagen types, the LIBOR marketplace version, structural and depth credits types. 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 eu name, fairness Basket, foreign money eu name, FX Barrier choice, rate of interest change, financial disaster, and credits Default change in C++.
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Extra resources for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.