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Item Details
| Title:
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NUMERICAL METHODS IN FINANCE WITH C++
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| By: |
Maciej J. Capinski, Tomasz Zastawniak |
| Format: |
Electronic book text |
| List price:
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£162.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
1139017403 |
| ISBN 13: |
9781139017404 |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
5 August, 2012 |
| Series: |
Mastering Mathematical Finance |
| Description: |
This book provides aspiring quant developers with the numerical techniques and programming skills needed in quantitative finance. No programming background required. |
| Synopsis: |
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. |
| Illustrations: |
15 b/w illus. 45 exercises |
| Publication: |
UK |
| Imprint: |
Cambridge University Press (Virtual Publishing) |
| Returns: |
Non-returnable |
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