A textbook for students and a reference guide for professionals, this text builds a foundation in the key methods and models of quantitative finance from the perspective of their implementation in C++. It introduces computational finance in a pragmatic manner, focusing on practical implementation. The author takes an object-oriented approach that starts from simple building blocks for assembling more complex and powerful models. The author expresses models and algorithms of the industry-standard C++ language and includes working C++ source code on a CD-ROM that accompanies the book.
A textbook for students and a reference guide for professionals, this text builds a foundation in the key methods and models of quantitative finance from the perspective of their implementation in C++. It introduces computational finance in a pragmatic manner, focusing on practical implementation. The author takes an object-oriented approach that starts from simple building blocks for assembling more complex and powerful models. The author expresses models and algorithms of the industry-standard C++ language and includes working C++ source code on a CD-ROM that accompanies the book.
Erik Schlögl currently is Professor and Director of the Quantitative Finance Research Centre at the University of Technology, Sydney (UTS), Australia. Erik received his doctorate in Economics from the University of Bonn, Germany, for work on term structure models and the pricing of fixed income derivatives and has gained broad-based experience in computational financial engineering. He has consulted for financial institutions and software developers in Europe, Australia and in the US. His research interests cover a broad area of quantitative finance, in particular model calibration, interest rate term structure modelling, credit risk and the integration of multiple sources of risk. He has published articles in a number of international journals, including Finance & Stochastics, Quantitative Finance, Risk and the Journal of Economic Dynamics and Control . In addition to UTS, he held positions at the University of New South Wales, Australia, and the University of Bonn, Germany.
Inhaltsangabe
A Brief Review of the C++ Programming Language. Basic Building Blocks. Lattice Models for Option Pricing. The Black Scholes World. Finite Difference Methods. Implied Volatility and Volatility Smiles. Monte Carlo Simulation. The Heath Jarrow Morton Model. Appendices. References. Index.
A Brief Review of the C++ Programming Language. Basic Building Blocks. Lattice Models for Option Pricing. The Black Scholes World. Finite Difference Methods. Implied Volatility and Volatility Smiles. Monte Carlo Simulation. The Heath Jarrow Morton Model. Appendices. References. Index.
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