03950nam 2200661 450 991046462420332120200520144314.01-78216-723-4(CKB)3710000000149367(EBL)1674872(SSID)ssj0001325517(PQKBManifestationID)11750883(PQKBTitleCode)TC0001325517(PQKBWorkID)11516670(PQKB)10331635(MiAaPQ)EBC1674872(CaSebORM)9781782167228(PPN)228023270(Au-PeEL)EBL1674872(CaPaEBR)ebr10887717(CaONFJC)MIL621512(OCoLC)882610672(EXLCZ)99371000000014936720140710h20142014 uy 0engur|n|---|||||txtccrAdvanced quantitative finance with C++ create and implement mathemtical models in C++ using quatitaive finance /Alonso Peña ; cover image by Ravi Kumar1st editionBirmingham, [England] :Packt Publishing,2014.©20141 online resource (124 p.)Community Experience DistilledDescription based upon print version of record.1-78216-722-6 Includes bibliographical references and index.Cover; Copyright; Credits; About the Author; Acknowledgments; About the Reviewer; www.PacktPub.com; Table of Contents; Preface; Chapter 1: What is Quantitative Finance?; Discipline 1 - finance (financial derivatives); Discipline 2 - mathematics; Discipline 3 - informatics (C++ programming); The Bento Box template; Summary; Chapter 2: Mathematical Models; Equity; Foreign exchange; Interest rates; Short rate models; Market models; Credit; Structural models; Intensity models; Summary; Chapter 3: Numerical Methods; The Monte Carlo simulation method; Algorithm of MC method; Example of MC methodBinomial Trees methodAlgorithm of the BT method; Example of the BT method; The Finite Difference method; Algorithm of FDM; Example of FD method; Summary; Chapter 4: Equity Derivatives in C++; Basic example - European Call; Advanced example - equity basket; Summary; Chapter 5: Foreign Exchange Derivatives with C++; Basic example - European FX Call (FX1); Advanced example - FX barrier option (FX2); Summary; Chapter 6: Interest Rate Derivatives with C++; Basic example - plain vanilla IRS (IR1); Advanced example - IRS with Cap (IR2); Summary; Chapter 7: Credit Derivatives with C++Basic example - bankruptcy (CR1)Advanced example - CDS (CR2); Summary; Appendix A: C++ Numerical Libraries for Option Pricing; Numerical recipes; Financial numerical recipes; The QuantLib project; The Boost library; The GSL library; Appendix B: References; IndexThe book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice. If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level.Community experience distilled.FinanceMathematical modelsC++ (Computer program language)Electronic books.FinanceMathematical models.C++ (Computer program language)332.015195Peña Alonso937520Kumar RaviMiAaPQMiAaPQMiAaPQBOOK9910464624203321Advanced quantitative finance with C++2111708UNINA