By Alonso Peña Ph.D.
About This Book
- Describes the foremost mathematical types used for cost fairness, foreign money, rates of interest, and credits derivatives
- The advanced versions are defined step by step besides a circulation chart of each implementation
- Illustrates every one asset category with totally solved C++ examples, either uncomplicated and complex, that aid and supplement the text
Who This booklet Is For
If you're a quantitative analyst, hazard supervisor, actuary, or a qualified operating within the box of quantitative finance and wish a brief hands-on advent to the pricing of monetary derivatives, this ebook is perfect for you. you have to be acquainted with the elemental programming options and C++ programming language. you have to even be familiar with calculus of undergraduate level.
What you'll 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 bushes, finite adjustments, and Monte Carlo simulation
- Develop your realizing of fairness, currency, rate of interest, and credits derivatives via concrete examples
- Implement easy and complicated by-product tools in C++
- Discover an important mathematical types utilized in quantitative finance this day to cost by-product instruments
- Effectively include item orientated programming (OOP) ideas into the code
This e-book will introduce you to the foremost mathematical versions used to cost monetary derivatives, in addition to the implementation of major numerical versions used to unravel them. particularly, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the booklet, the most mathematical versions utilized in the area of economic derivatives are mentioned. subsequent, the numerical equipment used to unravel the mathematical types are offered. eventually, either the mathematical versions and the numerical tools are used to resolve a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The types used comprise the Black-Scholes and Garman-Kohlhagen versions, the LIBOR marketplace version, structural and depth credits types. The numerical tools defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial timber, and Finite distinction equipment. you will discover implementation of concrete difficulties together with ecu name, fairness Basket, forex eu name, FX Barrier choice, rate of interest change, financial ruin, and credits Default change in C++.
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Additional info for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.