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Financial instrument pricing using C++

Author: Daniel J Duffy
Publisher: Hoboken, NJ : Wiley, [2018]
Edition/Format:   eBook : Document : English : Second editionView all editions and formats
Summary:

? C++ is one of the best languages for the development of financial engineering and instrument pricing applications. ? This book applies C++ to the design and implementation of classes, libraries and  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Duffy, Daniel J.
Financial instrument pricing using C++.
Hoboken : Wiley, [2018]
(DLC) 2018017672
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Daniel J Duffy
ISBN: 9781119170488 1119170486 9781119170495 1119170494 9781119170518 1119170516
OCLC Number: 1032290430
Notes: Revised and updated edition of the author's Financial instrument pricing using C++, c2004.
Description: 1 online resource
Contents: A tour of C++ and environs --
New and improved C++ fundamentals --
Modelling functions in C++ --
Advanced c++ template programming --
Tuples in c++ and their applications --
Type traits, advanced lambdas and multiparadigm design in C++ --
Multiparadigm design in C++ --
C++ numerics, IEEE754 and boost C++ multiprecision --
An introduction to unified software design (USD) --
New data types, containers and algorithms in C++ and boost C++ libraries --
Lattice models fundamental data structures and algorithms --
Lattice models applications to computational finance --
Numerical linear algebra : tridiagonal systems and applications --
Data visualisation in Excel --
Univariate statistical distributions --
Bivariate statistical distributions and two-asset option pricing --
STL algorithms in detail --
STL algorithms part II --
An introduction to optimisation and the solution of nonlinear equations --
The finite difference method for PDEs mathematical background --
Software framework for one-factor option models --
Extending the software framework --
A PDE software framework in C++11 for a class of path-dependent options --
Ordinary differential equations and their numerical approximation --
Advanced ordinary differential equations and method of lines (MOL) --
Random number generation and distributions --
Microsoft .net, C# and C++11 interoperability --
C++ concurrency, Part I Threads --
C++ concurrency, part II Tasks --
Parallel patterns language (PPL) --
Monte Carlo simulation, Part I --
Monte Carlo simulation, Part II --
Bibliography --
Appendix --
Index.
Responsibility: Daniel J. Duffy.

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