Financial instrument pricing using C++
Duffy, Daniel J
Financial instrument pricing using C++ - 2nd - New Jersey Wiley 2018 - xxi,1142p.
Revised and updated edition of the author's Financial instrument pricing using C++, c2004.
Includes bibliographical references and index.
A tour of C++ and environs -- New and improved C++ fundamentals -- Modelling functions in C++ -- Advanced c++ template programming -- Tuples in c++ and their applications -- Type traits, advanced lambdas and multiparadigm design in C++ -- Multiparadigm design in C++ -- C++ numerics, IEEE754 and boost C++ multiprecision -- An introduction to unified software design (USD) -- New data types, containers and algorithms in C++ and boost C++ libraries -- Lattice models fundamental data structures and algorithms -- Lattice models applications to computational finance -- Numerical linear algebra : tridiagonal systems and applications -- Data visualisation in Excel -- Univariate statistical distributions -- Bivariate statistical distributions and two-asset option pricing -- STL algorithms in detail -- STL algorithms part II -- An introduction to optimisation and the solution of nonlinear equations -- The finite difference method for PDEs mathematical background -- Software framework for one-factor option models -- Extending the software framework -- A PDE software framework in C++11 for a class of path-dependent options -- Ordinary differential equations and their numerical approximation -- Advanced ordinary differential equations and method of lines (MOL) -- Random number generation and distributions -- Microsoft .net, C# and C++11 interoperability -- C++ concurrency, Part I Threads -- C++ concurrency, part II Tasks -- Parallel patterns language (PPL) -- Monte Carlo simulation, Part I -- Monte Carlo simulation, Part II -- Bibliography -- Appendix -- Index.
9780470971192
2018017672
Investments--Mathematical models.
Financial engineering.
C++ (Computer program language)
332.602855133 / DU-F
Financial instrument pricing using C++ - 2nd - New Jersey Wiley 2018 - xxi,1142p.
Revised and updated edition of the author's Financial instrument pricing using C++, c2004.
Includes bibliographical references and index.
A tour of C++ and environs -- New and improved C++ fundamentals -- Modelling functions in C++ -- Advanced c++ template programming -- Tuples in c++ and their applications -- Type traits, advanced lambdas and multiparadigm design in C++ -- Multiparadigm design in C++ -- C++ numerics, IEEE754 and boost C++ multiprecision -- An introduction to unified software design (USD) -- New data types, containers and algorithms in C++ and boost C++ libraries -- Lattice models fundamental data structures and algorithms -- Lattice models applications to computational finance -- Numerical linear algebra : tridiagonal systems and applications -- Data visualisation in Excel -- Univariate statistical distributions -- Bivariate statistical distributions and two-asset option pricing -- STL algorithms in detail -- STL algorithms part II -- An introduction to optimisation and the solution of nonlinear equations -- The finite difference method for PDEs mathematical background -- Software framework for one-factor option models -- Extending the software framework -- A PDE software framework in C++11 for a class of path-dependent options -- Ordinary differential equations and their numerical approximation -- Advanced ordinary differential equations and method of lines (MOL) -- Random number generation and distributions -- Microsoft .net, C# and C++11 interoperability -- C++ concurrency, Part I Threads -- C++ concurrency, part II Tasks -- Parallel patterns language (PPL) -- Monte Carlo simulation, Part I -- Monte Carlo simulation, Part II -- Bibliography -- Appendix -- Index.
9780470971192
2018017672
Investments--Mathematical models.
Financial engineering.
C++ (Computer program language)
332.602855133 / DU-F