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Financial Instrument Pricing using C++ by Daniel Duffy
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    • Product code: 17081
    • ISBN: 0470855096, ISBN13: 9780470855096, 418 pages, hardback
      Published by John Wiley & Sons, 1st edition, 2004
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    Description of Financial Instrument Pricing using C++

    Designing and Implementing Software for Financial Instrument Pricing provides a step by step account of how to price financial derivatives using C++, design patterns and state-of-the-art numerical schemes and methods.

    Written for those involved in the design and implementation of numerical models for financial derivative products, author Daniel Duffy takes a practical approach to realising these goals using C++, design patterns and state of the art numerical schemes and methods.

    Contents of Financial Instrument Pricing using C++

    PART I: TEMPLATE PROGRAMMING IN C++

    1. Executive Overview of this Book
    2. A Gentle Introduction to Templates in C++
    3. An Introduction to the Standard Template Library (STL)
    4. STL for Financial Engineering Applications
    5. The Property Pattern in Financial Engineering


    PART II: BUILDING BLOCK CLASSES

    6. Array, Vectors and Matrices
    7. Arrays and Matrix Properties
    8. Numerical Linear Algebra
    9. Modelling Functions in C++
    10. C++ Classes for Statistical Distribution


    PART III: ORDINARY AND STOCHASTIC DIFFERENTIAL EQUATIONS

    11. Numerical Solution of Initial Value Problems: Fundamentals
    12. Stochastic Processes and Stochastic Differential Equations (SDE)
    13. Two-point Boundary Value Problems
    14. Matrix Iterative Methods


    PART IV: PROGRAMMING THE BLACK SCHOLES ENVIRONMENT

    15. An Overview of Computational Finance
    16. Introducing Finite Difference Schemes for Black Scholes: A Gentle Introduction
    17. Implicit Finite Difference Schemes for Black Scholes
    18. Special Schemes for Plain and Exotic Options
    19. My First Finite Difference Solver
    20. An Introduction to ADI and Splitting Schemes
    21. Numerical Approximation of Two-Factor Derivative Models


    PART V: DESIGN PATTERNS

    23. Object Creational Patterns
    24. Object Structural Patterns
    25. Object Behavioural Patterns


    PART VI: DESIGN AND DEPLOYMENT ISSUES

    26. An Introduction to Extensible Markup Language (XML)
    27. Advanced XML and Programming Interface
    28. Interfacing C++ and Excel
    29. Advanced Excel Interfacing
    30. An Extended Application: Option Strategies and Portfolios

    Appendices
    References
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