Duffy Introduction to C++ for Financial Engineers

An Object-Oriented Approach
1. Auflage 2007
ISBN: 978-0-470-05889-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 438 Seiten, E-Book

Reihe: Wiley Finance

This book introduces the reader to the C++ programming language andhow to use it to write applications in quantitative finance (QF)and related areas. No previous knowledge of C or C++ is required-- experience with VBA, Matlab or other programming languageis sufficient. The book adopts an incremental approach; startingfrom basic principles then moving on to advanced complex techniquesand then to real-life applications in financial engineering. Thereare five major parts in the book:
* C++ fundamentals and object-oriented thinking in QF
* Advanced object-oriented features such as inheritance andpolymorphism
* Template programming and the Standard Template Library(STL)
* An introduction to GOF design patterns and their applicationsin QF Applications
The kinds of applications include binomial and trinomialmethods, Monte Carlo simulation, advanced trees, partialdifferential equations and finite difference methods.
This book includes a companion website with all source code andmany useful C++ classes that you can use in your own applications.Examples, test cases and applications are directly relevant toQF.
This book is the perfect companion to Daniel J. Duffy'sbook Financial Instrument Pricing using C++ (Wiley 2004,0470855096 / 9780470021620)

Autoren/Hrsg.

Duffy, Daniel J.

Inhaltsverzeichnis

0 Goals of this Book and Global Overview 1
PART I C++ ESSENTIAL SKILLS 5
1 Introduction to C++ and Quantitative Finance 7
2 The Mechanics of C++: from Source Code to a Running Program 15
3 C++ Fundamentals and My First Option Class 31
4 Creating Robust Classes 49
5 Operator Overloading in C++ 63
6 Memory Management in C++ 79
7 Functions, Namespaces and Introduction to Inheritance 93
8 Advanced Inheritance and Payoff Class Hierarchies 113
9 Run-Time Behaviour in C++ 133
10 An Introduction to C++ Templates 153
PART II DATA STRUCTURES, TEMPLATES AND PATTERNS 167
11 Introduction to Generic Data Structures and Standard Template Library (STL) 169
12 Creating Simpler Interfaces to STL for QF Applications 187
13 Data Structures for Financial Engineering Applications 203
14 An Introduction to Design Patterns 223
PART III QF APPLICATIONS 243
15 Programming the Binomial Method in C++ 245
16 Implementing One-Factor Black Scholes in C++ 265
17 Two-Factor Option Pricing: Basket and Other Multi-Asset Options 283
18 Useful C++ Classes for Numerical Analysis Applications in Finance 305
19 Other Numerical Methods in Quantitative Finance 315
20 The Monte Carlo Method Theory and C++ Frameworks 327
Dr. Joerg Kieritz and Daniel J. Duffy
21 Skills Development: from White Belt to Black Belt 345
21.1 Introduction and objectives 345
PART IV BACKGROUND INFORMATION 351
22 Basic C Survival Guide 353
23 Advanced C Syntax 363
24 Datasim Visualisation Package in Excel: Drivers and Mechanisms 373
25 Motivating COM and Emulation in C++ 391
26 COM Fundamentals 401
References 407
Index 409

Über Autor(innen)

DANIEL J. DUFFY has been involved in software developmentprojects using C++ and object-oriented design techniques since1988. He organized the first C++ course in the Netherlands in 1989and has worked on a variety of C++ projects in areas such ascomputer graphics, optical technology, process control andquantitative finance systems. In 1993 he worked on an early versionof a large object-oriented system for derivatives' pricingand hedging models. He is designer/trainer and has trained motethan 2000 C++ developers in recent years.
A companion book to the current one is "Financial instrumentpricing using C++" (Wiley 2004). Since 1996 he has written sevenbooks on object-oriented design and programming. Daniel Duffy has aPhd in Numerical Analysis from Trinity College Dublin. He lives inthe Netherlands with his wife Ilona and son Brendan.
He can be contacted at [e-mail]