By Alonso Peña Ph.D.
About This Book
- Describes the main mathematical types used for rate fairness, forex, rates of interest, and credits derivatives
- The advanced versions are defined step by step in addition to a stream chart of each implementation
- Illustrates each one asset type with absolutely solved C++ examples, either easy and complex, that help and supplement the text
Who This ebook Is For
If you're a quantitative analyst, threat supervisor, actuary, or a certified operating within the box of quantitative finance and need a short hands-on creation to the pricing of monetary derivatives, this publication is perfect for you. you have to be conversant in the elemental programming strategies and C++ programming language. you'll want to even be familiar with calculus of undergraduate level.
What you'll Learn
- Solve advanced pricing difficulties in monetary derivatives utilizing a dependent process with the Bento field template
- Explore a few key numerical tools together with binomial bushes, finite transformations, and Monte Carlo simulation
- Develop your realizing of fairness, currency, rate of interest, and credits derivatives via concrete examples
- Implement basic and complicated spinoff tools in C++
- Discover an important mathematical versions utilized in quantitative finance at the present time to cost spinoff instruments
- Effectively comprise item orientated programming (OOP) rules into the code
This ebook will introduce you to the major mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical versions used to resolve them. specifically, fairness, forex, rates of interest, and credits derivatives are mentioned. within the first a part of the e-book, the most mathematical versions utilized in the area of monetary derivatives are mentioned. subsequent, the numerical equipment used to resolve the mathematical versions are provided. ultimately, either the mathematical types and the numerical equipment are used to unravel a few concrete difficulties in fairness, foreign money, rate of interest, and credits derivatives.
The types used contain the Black-Scholes and Garman-Kohlhagen versions, the LIBOR industry version, structural and depth credits types. The numerical equipment defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial timber, and Finite distinction tools. you will discover implementation of concrete difficulties together with ecu name, fairness Basket, forex ecu name, FX Barrier alternative, rate of interest switch, financial ruin, and credits Default change in C++.
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Extra resources for Advanced Quantitative Finance with C++
Advanced Quantitative Finance with C++ by Alonso Peña Ph.D.