LEADER 03950nam 2200661 450 001 9910464624203321 005 20200520144314.0 010 $a1-78216-723-4 035 $a(CKB)3710000000149367 035 $a(EBL)1674872 035 $a(SSID)ssj0001325517 035 $a(PQKBManifestationID)11750883 035 $a(PQKBTitleCode)TC0001325517 035 $a(PQKBWorkID)11516670 035 $a(PQKB)10331635 035 $a(MiAaPQ)EBC1674872 035 $a(CaSebORM)9781782167228 035 $a(PPN)228023270 035 $a(Au-PeEL)EBL1674872 035 $a(CaPaEBR)ebr10887717 035 $a(CaONFJC)MIL621512 035 $a(OCoLC)882610672 035 $a(EXLCZ)993710000000149367 100 $a20140710h20142014 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aAdvanced quantitative finance with C++ $ecreate and implement mathemtical models in C++ using quatitaive finance /$fAlonso Pen?a ; cover image by Ravi Kumar 205 $a1st edition 210 1$aBirmingham, [England] :$cPackt Publishing,$d2014. 210 4$dİ2014 215 $a1 online resource (124 p.) 225 1 $aCommunity Experience Distilled 300 $aDescription based upon print version of record. 311 $a1-78216-722-6 320 $aIncludes bibliographical references and index. 327 $aCover; 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 method 327 $aBinomial 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++ 327 $aBasic 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; Index 330 $aThe book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice. If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level. 410 0$aCommunity experience distilled. 606 $aFinance$xMathematical models 606 $aC++ (Computer program language) 608 $aElectronic books. 615 0$aFinance$xMathematical models. 615 0$aC++ (Computer program language) 676 $a332.015195 700 $aPen?a$b Alonso$0937520 702 $aKumar$b Ravi 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910464624203321 996 $aAdvanced quantitative finance with C++$92111708 997 $aUNINA