Financial instrument pricing using C++
By: Daniel J. Duffy
Series: Wiley finance series
Publisher: John Wiley & Sons
Published: 2004
Place of publication: Chichester, England; Hoboken, NJ
Language: eng
Number of pages: 418
Subjects: Investments -- Mathematical models; Financial engineering; C++ (Computer program language)
Description: "In this book we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ modern software engineering techniques to produce industrial-strength applications." "Included with the book is a CD containing the source code in the Datasim Financial Toolkit that you can use directly. This will get you up to speed with your C++ applications by reusing existing classes and libraries."--BOOK JACKET.
Notes: Includes bibliographical references (p. [397]-399) and index
Table of contents: title: Template programming in C++; title: Building block classes; title: Ordinary and stochastic differential equations; title: Programming the black-scholes environment; title: Design patterns; title: Design and deployment issues