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: CRC Press
• 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

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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

Rezensionen

"OOP in C++ remains a difficult programming language and paradigm to learn and develop. There remains a shortage of high-quality, easy to follow texts in C++ for mathematical finance. Dr Armstrong has successfully produced a self-contained publication that begins with the basics and patiently guides the student to advanced object-oriented C++ programming in a quant finance setting. The writing style is very user-friendly and immediately reassures the reader, while numerous exercises allow solid progression. The author's extensive background in academia and as a practitioner is apparent throughout; the latter being a key accomplishment in setting the book apart from others. As a teacher of mathematical and computational finance, Armstrong's book will feature at the top of my list of recommended textbooks."

- Dr. Riaz Ahmad, The Fitch Group and University College London (Departments of Mathematics and Computer Science)