An Object-Oriented Approach in C++
1. Auflage 2013,
354 Seiten, Gebunden, Format (B × H): 159 mm x 241 mm, Gewicht: 730 g
Reihe: Chapman and Hall/CRC Financial Mathematics Series
Verlag: CRC PR INC
Schlogl Quantitative FinanceQuantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++.
Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field.
The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing.
Web ResourceThe author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.
Graduate students, practitioners, and researchers in quantitative finance.
Weitere Infos & Material
A Brief Review of the C++ Programming Language Getting started Procedural programming in C++ Object-oriented features of C++ Templates Exceptions Namespaces
Basic Building Blocks The Standard Template Library (STL) The Boost Libraries Numerical arrays Numerical integration Optimisation and root search The term structure of interest rates
Lattice Models for Option Pricing Basic concepts of pricing by arbitrage Hedging and arbitrage–free pricing Defining a general lattice model interface Implementing binomial lattice models Models for the term structure of interest rates
The Black/Scholes World Martingales Option pricing in continuous time Exotic options with closed form solutions Implementation of closed form solutionsAmerican options
Finite Difference Methods The object-oriented interfaceThe explicit finite difference method The implicit finite difference method The Crank/Nicolson scheme
Implied Volatility and Volatility Smiles Calculating implied distributions Constructing an implied volatility surface Stochastic volatility
Monte Carlo Simulation Background The generic Monte Carlo algorithm Simulating asset price processes Discretising stochastic differential equations Predictor-corrector methods Variance reduction techniquesPricing instruments with early exercise features Quasi-random Monte Carlo
The Heath/Jarrow/Morton Model The model framework Gauss/Markov HJM Option pricing in the Gaussian HJM framework Adding a foreign currency Implementing closed-form solutions Monte Carlo simulation in the HJM framework Implementing Monte Carlo simulation
Appendix A: Interfacing between C++ and Microsoft Excel Appendix B: Automatic Generation of Documentation Using Doxygen