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Advanced Quantitative Finance with C++
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Advanced Quantitative Finance with C++
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Overview of this book
<p>This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives.</p>
<p>The models used include the Black-Scholes and Garman-Kohlhagen models, the LIBOR market model, structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++.</p>
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Advanced Quantitative Finance with C++
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Table of Contents (17 chapters)
Advanced Quantitative Finance with C++
Credits
About the Author
Acknowledgments
About the Reviewer
www.PacktPub.com
Preface
Free Chapter
What is Quantitative Finance?
Mathematical Models
Numerical Methods
Equity Derivatives in C++
Foreign Exchange Derivatives with C++
Interest Rate Derivatives with C++
Credit Derivatives with C++
C++ Numerical Libraries for Option Pricing
Index
Customer Reviews