Numerical Methods in Finance with C++ (Paperback)

Maciej J. Capinski

  • 出版商: Cambridge
  • 出版日期: 2012-08-02
  • 售價: $1,800
  • 貴賓價: 9.5$1,710
  • 語言: 英文
  • 頁數: 176
  • 裝訂: Paperback
  • ISBN: 0521177162
  • ISBN-13: 9780521177160
  • 相關分類: C++ 程式語言
  • 無法訂購

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商品描述

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.

商品描述(中文翻譯)

本書以量化金融中具體的計算問題為驅動力,為有志成為量化開發人員的讀者提供了所需的數值技巧和程式設計能力。作者從零開始,因此讀者不需要任何C++的先前經驗。從在二項樹上進行簡單的期權定價開始,本書逐漸深入探討更高級的主題,包括非線性求解器、基於路徑的衍生證券的蒙特卡羅技術、偏微分方程的有限差分方法,以及通過解決線性互補問題來進行美式期權定價。更多資料,包括所有習題的解答和C++程式碼,可在線上獲得。本書是作為初級量化程式設計師的理想準備,並且讓讀者有信心進一步發展涉及C++設計模式在金融領域應用的高級技能。