Quantitative finance : an object-oriented approach in C++ /: an object-oriented approach in C++. (2018)

• Record Type: Book
• Further Information: Note: Erik Schlogl.
• Other Names: Schlogl, Erik
• Contents: 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 solutions; American options Finite Difference Methods ; The object-oriented interface; The 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 techniques; Pricing 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 References Index
• Publisher Details: Place of publication not identified : Chapman and Hall/CRC
• Publication Date: 2018
• Extent: 1 online resource (354 pages), (30 illustrations)
• Subjects: 332.0151; Finance -- Mathematical models; Object-oriented methods (Computer science)
• Languages: English
• ISBNs: 9781315359854; 1315359855
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.