Modeling Derivatives in C++John Wiley & Sons, 2005. gada 21. janv. - 840 lappuses This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives. |
Saturs
CHAPTER 1 BlackScholes and Pricing Fundamentals | 1 |
CHAPTER 2 Monte Carlo Simulation | 45 |
CHAPTER 3 Binomial Trees | 123 |
CHAPTER 4 Trinomial Trees | 165 |
CHAPTER 5 FiniteDifference Methods | 183 |
CHAPTER 6 Exotic Options | 246 |
CHAPTER 7 Stochastic Volatility | 274 |
CHAPTER 8 Statistical Models | 324 |
CHAPTER 14 Bermudan and Exotic Interest Rate Derivatives | 710 |
APPENDIX A Probability Review | 771 |
APPENDIX B Stochastic Calculus Review | 783 |
APPENDIX C Fast Fourier Transform Method | 6-1 |
APPENDIX D Building Models Pricing Engines and Calibration in Practice | D-1 |
APPENDIX E Code Routines | E-1 |
APPENDIX F Solving the BlackScholes PDE | 783 |
| 793 | |
CHAPTER 9 Stochastic Multifactor Models | 367 |
CHAPTER 10 SingleFactor Interest Rate Models | 395 |
CHAPTER 11 TreeBuilding Procedures | 467 |
CHAPTER 12 TwoFactor Models and the HeathJarrowMorton Model | 554 |
CHAPTER 13 LIBOR Market Models | 630 |
About the CDROM | 803 |
GNU General Public License | 807 |
| 813 | |
Bieži izmantoti vārdi un frāzes
array Array& Asian option asset price binomial Black-Scholes bond option bond price Brownian motion calculate calibrated call option caplet cash flows char type coefficient compute const correlation cout define definitions delta derivatives deviate diffusion process discount bond distribution dividend yield double div double double double double rate double strike double vol drift dynamics endl equation find first fixed formula forward rate function GARCH Hull-White implementation implied volatility initial inline interest rate iterator LIBOR Market Model lognormal matrix maturity method namespace node numeraire option price parameters path payoff price double probability put option QuantLib random variable rate double Rebonato risk-neutral risk-neutral measure short rate sigma solve std::cout std::endl step stochastic stock price strike price suml swap rate swaption term structure tion tree_ptr trinomial tree underlying variance Vasicek vector vector<double void Wiener process yield curve zero zero-coupon bond