Daniel J. Duffy, «Financial Instrument Pricing Using C++»

Posted By: Alexpal
Daniel J. Duffy, «Financial Instrument Pricing Using C++»

Daniel J. Duffy, «Financial Instrument Pricing Using C++»
John Wiley & Sons | ISBN 0470855096 | 2004 Year | CHM | 13,62 Mb | 432 Pages


One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (write once) and support for legacy C applications.

In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:

Using the Standard Template Library (STL) in finance
Creating your own template classes and functions
Reusable data structures for vectors, matrices and tensors
Classes for numerical analysis (numerical linear algebra ¿)
Solving the Black Scholes equations, exact and approximate solutions
Implementing the Finite Difference Method in C++
Integration with the "Gang of Four" Design Patterns
Interfacing with Excel (output and Add-Ins)
Financial engineering and XML
Cash flow and yield curves

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