Financial instrument pricing using C++

✍ Scribed by Daniel J. Duffy

• Publisher: Wiley
• Year: 2018
• Tongue: English
• Leaves: 1165
• Series: Wiley finance series
• Edition: 2nd
• Category: Library

✦ Table of Contents

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.

✦ Subjects

Investments -- Mathematical models;Financial engineering;C++ (Computer program language)