John Armstrong

C++ for Financial Mathematics

• Gebundenes Buch

Produktbeschreibung

If you know a little bit about financial mathematics but don't yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples.

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Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• Seitenzahl: 388
• Erscheinungstermin: 21. Dezember 2016
• Englisch
• Abmessung: 234mm x 156mm x 24mm
• Gewicht: 753g
• ISBN-13: 9781498750059
• ISBN-10: 1498750052
• Artikelnr.: 47468362

Autorenporträt

John Armstrong is a Lecturer in financial mathematics, probability and statistics at King's College London. He has 15 years experience in the financial industry working as a software architect. He co-founded Yolus and designed their innovative risk management system which was adopted by numerous major banks. He has also worked for ION Trading, Dresdner Kleinwort Wasserstein and was an executive director at Goldman Sachs.

Inhaltsangabe

Introduction. Getting Started. Basic Data Types and Operators. Functions.
Flow of Control. Working with Multiple Files. Unit Testing. Using C++
Classes. User-Defined Types. Monte Carlo Pricing in C++. Interfaces.
Arrays, Strings, and Pointers. More Sophisticated Classes. The Portfolio
Class. Delta Hedging. Debugging and Development ToolsA Matrix Class. An
Overview of Templates. The Standard Template Library. Function Objects and
Lambda Functions. Threads. Next Steps. Appendix: Risk-Neutral Pricing