Financial Numerical Recipes in C++

✍ Scribed by Degaard Bernt Arne.

• Tongue: English
• Category: Library

✦ Synopsis

Degaard Bernt Arne - Financial Numerical Recipes in C++. Загрузка вместе с примерами и программными кодами , 2007
В книге дано полное программное обеспечение на языке C++ фактически всех разделов финансовой математики: от вычисления сложных процентов до расчетов экзотических опционов, моделей расчета кредитных рисков и сложных приемов моделирования временной структуры дисконта. Кроме того много примеров и программные коды прилагаются.

This book is a a discussion of the calculation of specific formulas in finance. The field of finance has seen a rapid development in recent years, with increasing mathematical sophistication. While the formalization of the field can be traced back to the work of Markowitz (1952) on investors mean-variance decisions and Modigliani and Miller (1958) on the capital structure problem, it was the solution for the price of a call option by Black and Scholes (1973); Merton (1973) which really was the starting point for the mathematicalization of finance. The fields of derivatives and fixed income have since then been the main fields where complicated formulas are used. This book is intended to be of use for people who want to both understand and use these formulas, which explains why most of the algorithms presented later are derivatives prices.
To implement the algorithms in a computer language I choose C++. My students keep asking why anybody would want to use such a backwoods computer language, they think a spreadsheet can solve all the worlds problems. I have some experience with alternative systems for computing, and no matter what, in the end you end up being frustrated with higher end languages, such as Matlab og Gauss (Not to mention the straitjacket which is is a spreadsheet. ) and going back to implementation in a standard language. In my experience with empirical finance I have come to realize that nothing beats knowledge a real computer language. This used to be FORTRAN, then C, and now it is C++ . All example algorithms are therefore coded in C++. I do acknowledge that matrix tools like Matlab are very good for rapid prototyping and compact calculations, and will in addition to C++ in places also illustrate the use of Matlab.
The current manscript therefore has various intented audiences. Primarily it is for students of finance who desires to see a complete discussion and implementation of some formula. But the manuscript is also useful for students of finance who wants to learn C++, and for computer scientists who want to understand about the finance algorithms they are asked to implent and embed into their programs.
In doing the implementation I have tried to be as generic as possible in terms of the C++ used, but I have taken advantage of a some of the possibilities the language provides in terms of abstraction and modularization. This will also serve as a lesson in why a real computer language is useful. For example I have encapsulated the term structure of interest rate as an example of the use of classes.

✦ Subjects

Финансово-экономические дисциплины;Финансовая математика