By Alonso Peña Ph.D.
About This Book
- Describes the most important mathematical types used for fee fairness, forex, rates of interest, and credits derivatives
- The complicated types are defined step by step besides a move chart of each implementation
- Illustrates each one asset category with absolutely solved C++ examples, either uncomplicated and complicated, that help and supplement the text
Who This booklet Is For
If you're a quantitative analyst, threat supervisor, actuary, or a qualified operating within the box of quantitative finance and wish a short hands-on advent to the pricing of monetary derivatives, this ebook is perfect for you. you need to be acquainted with the elemental programming recommendations and C++ programming language. you might want to even be accustomed to calculus of undergraduate level.
What you'll Learn
- Solve complicated pricing difficulties in monetary derivatives utilizing a based method with the Bento field template
- Explore a few key numerical equipment together with binomial timber, finite adjustments, and Monte Carlo simulation
- Develop your knowing 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 this present day to cost spinoff instruments
- Effectively contain item orientated programming (OOP) rules into the code
This booklet will introduce you to the most important mathematical versions used to cost monetary derivatives, in addition to the implementation of major numerical types used to unravel them. particularly, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the publication, the most mathematical versions utilized in the realm of economic derivatives are mentioned. subsequent, the numerical equipment used to unravel the mathematical versions are provided. eventually, either the mathematical versions and the numerical tools are used to unravel a few concrete difficulties in fairness, foreign money, rate of interest, and credits derivatives.
The versions used comprise the Black-Scholes and Garman-Kohlhagen versions, the LIBOR industry version, structural and depth credits types. The numerical tools defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial bushes, and Finite distinction equipment. you'll find implementation of concrete difficulties together with eu name, fairness Basket, foreign money ecu name, FX Barrier choice, rate of interest change, financial disaster, and credits Default switch in C++.
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Additional info for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.