Ulteriori informazioni
Written for those involved in the design and implementation of numerical models for financial derivative products, Daniel Duffy takes a practical approach to realizing these goals using C++ design patterns and state of the art numerical schemes and methods.
Sommario
1 Executive Overview of this Book.
PART I TEMPLATE PROGRAMMING IN C++.
2 A Gentle Introduction to Templates in C++.
3 An Introduction to the Standard Template Library.
4 STL for Financial Engineering Applications.
5 The Property Pattern in Financial Engineering.
PART II BUILDING BLOCK CLASSES.
6 Arrays, Vectors and Matrices.
7 Arrays and Matrix Properties.
8 Numerical Linear Algebra.
9 Modelling Functions in C++.
10 C++ Classes for Statistical Distributions.
PART III ORDINARY AND STOCHASTIC DIFFERENTIAL EQUATIONS.
11 Numerical Solution of Initial Value Problems: Fundamentals.
12 Stochastic Processes and Stochastic Differential Equations.
13 Two-Point Boundary Value Problems.
14 Matrix Iterative Methods.
PART IV PROGRAMMING THE BLACK-SCHOLES ENVIRONMENT.
15 An Overview of Computational Finance.
16 Finite Difference Schemes for Black-Scholes.
17 Implicit Finite Difference Schemes for Black-Scholes.
18 Special Schemes for Plain and Exotic Options.
19 My First Finite Difference Solver.
20 An Introduction to ADI and Splitting Schemes.
21 Numerical Approximation of Two-Factor Derivative Models.
PART V DESIGN PATTERNS.
22 A C++ Application for Displaying Numeric Data.
23 Object Creational Patterns.
24 Object Structural Patterns.
25 Object Behavioural Patterns.
PART VI DESIGN AND DEPLOYMENT ISSUES.
26 An Introduction to the Extensible Markup Language.
27 Advanced XML and Programming Interface.
28 Interfacing C++ and Excel.
29 Advanced Excel Interfacing.
30 An Extended Application: Option Strategies and Portfolios.
Appendices.
A1 My C++ refresher.
A2 Dates and other temporal types.
References.
Index.
