A textbook for students and a reference guide for professionals, this text builds a foundation in the key methods and models of quantitative finance from the perspective of their implementation in C++. It introduces computational finance in a pragmatic manner, focusing on practical implementation. The author takes an object-oriented approach that starts from simple building blocks for assembling more complex and powerful models. The author expresses models and algorithms of the industry-standard C++ language and includes working C++ source code on a CD-ROM that accompanies the book.
novembre 2013, env. 354 pages, Chapman and Hall/CRC Financial Mathematics Series, Anglais
Taylor and Francis
978-1-58488-479-8