Original PDF Ebook – Financial Instrument Pricing Using C++2nd Edition – 9780470971192

Original PDF Ebook – Financial Instrument Pricing Using C++2nd Edition – 9780470971192

An integrated guide to C++ and computational finance_x000D_
This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy’s 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:_x000D_
Delving into a detailed account of the new C++11 standard and its applicability to computational finance._x000D_
Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity._x000D_
Developing multiparadigm software using the object-oriented, generic, and functional programming styles._x000D_
Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns._x000D_
Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models._x000D_
Developing applications, from financial model to algorithmic design and code, through a coherent approach._x000D_
Generating interoperability with Excel add-ins, C#, and C++/CLI._x000D_
Using random number generation in C++11 and Monte Carlo simulation._x000D_
Full source code is available by registering at www.datasimfinancial.com._x000D_
Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material._x000D_
This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.