Financial instrument pricing using C++ /
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Hoboken :
Wiley,
2018.
|
| Edition: | Second edition. |
| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | Click to View |
Table of Contents:
- A tour of C++ and environs
- New and improved C++ fundamentals
- Modelling functions in C++
- Advanced c++ template programming
- Tuples in c++ and their applications
- Type traits, advanced lambdas and multiparadigm design in C++
- Multiparadigm design in C++
- C++ numerics, IEEE754 and boost C++ multiprecision
- An introduction to unified software design (USD)
- New data types, containers and algorithms in C++ and boost C++ libraries
- Lattice models fundamental data structures and algorithms
- Lattice models applications to computational finance
- Numerical linear algebra : tridiagonal systems and applications
- Data visualisation in Excel
- Univariate statistical distributions
- Bivariate statistical distributions and two-asset option pricing
- STL algorithms in detail
- STL algorithms part II
- An introduction to optimisation and the solution of nonlinear equations
- The finite difference method for PDEs mathematical background
- Software framework for one-factor option models
- Extending the software framework
- A PDE software framework in C++11 for a class of path-dependent options
- Ordinary differential equations and their numerical approximation
- Advanced ordinary differential equations and method of lines (MOL)
- Random number generation and distributions
- Microsoft .net, C# and C++11 interoperability
- C++ concurrency, Part I Threads
- C++ concurrency, part II Tasks
- Parallel patterns language (PPL)
- Monte Carlo simulation, Part I
- Monte Carlo simulation, Part II
- Bibliography
- Appendix
- Index.