Numerical Methods in Finance with C++

Tomasz Zastawniak; Maciej J. Capiński

Numerical Methods in Finance with C++

Mathematics

Research output: Book/Report › Book

Abstract

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.

Original language	English
Publisher	Cambridge University Press
Number of pages	175
ISBN (Electronic)	9781107003712
ISBN (Print)	1107003717, 9780521177160
Publication status	Published - Jul 2012

Publication series

Name	Mastering Mathematical Finance
Publisher	Cambridge University Press

Access to Document

http://www.cambridge.org/gb/academic/subjects/statistics-probability/statistics-econometrics-finance-and-insurance/numerical-methods-finance-c

Cite this

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