Download Financial Instrument Pricing Using C++, by Daniel J. Duffy
By reviewing this book Financial Instrument Pricing Using C++, By Daniel J. Duffy, you will certainly obtain the most effective point to get. The brand-new point that you do not have to spend over money to reach is by doing it on your own. So, what should you do now? Go to the link web page and also download and install the publication Financial Instrument Pricing Using C++, By Daniel J. Duffy You can obtain this Financial Instrument Pricing Using C++, By Daniel J. Duffy by on the internet. It's so easy, right? Nowadays, innovation truly supports you activities, this on-line publication Financial Instrument Pricing Using C++, By Daniel J. Duffy, is also.
Financial Instrument Pricing Using C++, by Daniel J. Duffy
Download Financial Instrument Pricing Using C++, by Daniel J. Duffy
Pointer in choosing the most effective book Financial Instrument Pricing Using C++, By Daniel J. Duffy to read this day can be acquired by reading this web page. You could locate the very best book Financial Instrument Pricing Using C++, By Daniel J. Duffy that is marketed in this world. Not just had the books released from this country, yet also the various other nations. As well as now, we suppose you to review Financial Instrument Pricing Using C++, By Daniel J. Duffy as one of the reading materials. This is just one of the most effective books to accumulate in this website. Check out the web page as well as browse guides Financial Instrument Pricing Using C++, By Daniel J. Duffy You can find bunches of titles of the books offered.
If you obtain the printed book Financial Instrument Pricing Using C++, By Daniel J. Duffy in on the internet book store, you could likewise find the exact same problem. So, you have to relocate shop to shop Financial Instrument Pricing Using C++, By Daniel J. Duffy and look for the readily available there. However, it will not occur here. The book Financial Instrument Pricing Using C++, By Daniel J. Duffy that we will certainly supply here is the soft file concept. This is just what make you could quickly discover and get this Financial Instrument Pricing Using C++, By Daniel J. Duffy by reading this website. Our company offer you Financial Instrument Pricing Using C++, By Daniel J. Duffy the very best item, always as well as consistently.
Never ever question with our deal, considering that we will constantly give exactly what you need. As like this updated book Financial Instrument Pricing Using C++, By Daniel J. Duffy, you could not locate in the various other area. But below, it's quite simple. Merely click and download, you could own the Financial Instrument Pricing Using C++, By Daniel J. Duffy When simplicity will reduce your life, why should take the difficult one? You could acquire the soft file of guide Financial Instrument Pricing Using C++, By Daniel J. Duffy right here and be member of us. Besides this book Financial Instrument Pricing Using C++, By Daniel J. Duffy, you could also discover hundreds lists of guides from lots of sources, compilations, publishers, and also writers in worldwide.
By clicking the link that we offer, you can take guide Financial Instrument Pricing Using C++, By Daniel J. Duffy completely. Connect to net, download, and also conserve to your gadget. Exactly what else to ask? Checking out can be so very easy when you have the soft data of this Financial Instrument Pricing Using C++, By Daniel J. Duffy in your device. You could additionally copy the data Financial Instrument Pricing Using C++, By Daniel J. Duffy to your office computer system or at home or perhaps in your laptop. Merely share this good information to others. Recommend them to visit this resource and also get their looked for books Financial Instrument Pricing Using C++, By Daniel J. Duffy.
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra ?)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ?Gang of Four? Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.'
-- Paul Wilmott, mathematician, author and fund manager
- Sales Rank: #1524997 in Books
- Published on: 2004-07-30
- Original language: English
- Number of items: 1
- Dimensions: 9.90" h x 1.30" w x 6.90" l, 2.19 pounds
- Binding: Hardcover
- 432 pages
From the Back Cover
One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (‘write once’) and support for legacy C applications.
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: -
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra …)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ‘Gang of Four’ Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
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.
'Unique... Let's all give a warm welcome to modern pricing tools.' Paul Wilmott, mathematician, author and fund manager
About the Author
Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at dduffy@datasim.nl
Most helpful customer reviews
38 of 38 people found the following review helpful.
Utter shambles
By ifitaintbrokeitwillbe
The code is a real mess. Source files are missing, class member variables not defined, calls made to misspelled functions, basic syntax errors. Here are a few of the problems I have run into:
- Missing Source Files:: BVPmechanisms.hpp. So files like BVPSOlver.cpp can't compile
- Undefined members variables: AssocArray::contents. Can't build without it
- Basic syntax errors: (if ass2 == this). Should be if(ass2 == this)
- Incorrect function calls: standardDeviation(). Should be standardDeviation(x)
Aside from all the kindergarten errors, the author over uses templates to such an extent that simple routines are hopelessly obfuscated.
I think he built it on an old version of Visual C++. This is because the code fails to build on modern compilers with tighter error checking.
I have no idea why the other guys love this book so much, they must never have tried to build any of the examples in it ... which is weird because the whole reason I bought the book was to begin building a library of financial tools.
47 of 57 people found the following review helpful.
The best book in c++ instrument pricing, period.
By A Senior Programmer
Let me just say that I have a few financial modelling books, from Dr. Brooks to Mr. Joshi, and this is the best book by far. It clearly explain how to price a particular instruments using this poweful language. The book uses Standard Template Language (STL), by doing so your code are more readable and much faster. If I only had this book a few years back. Now I must say this book is for C++ programmers and Quants you really need to know C++ from beginning to end, templates, pointers, references, classes or that stuff you need it. This is the only book that comes with working code, it doesn't matter what type of compiler you have the code in the CD will work. Mr. Duffy explains how to model one factor and two factor Black-Scholes equations using finite differences, options(vanilla, exotic),interest rate and much more. The CD even comes with an Excel driver to transfer your data to Excel. Quant superstar Justin London is coming with his new book in a few months, and that book might over take this one, but as of right now this is the best C++ financial pricing book around. You can't go wrong with this one.
23 of 27 people found the following review helpful.
Computational Finance made efficient
By Gaurav Saroliya
This book encapsulates all that is wonderful about OOP and shows how generic programming techniques (based on the STL) can be effectively applied to financial engineering and numerical analytic problems. The book requires only a first-course level knowledge of C++ (at the level of for example Ivor Horton's Beginning C++) and a first course level knowledge of Financial Mathematics (at the level of for example John Hull's masterpiece) and takes the reader on an entertaining journey through the basics of the STL and the applications of STL constructs to computational-financial and numerical-analytic problems, especially those relating to the numerical solution of partial differential equations. Also, the author makes a persuasive case for finite-difference methods and deals with a few subtleties of the Crank-Nicholson algorithm. For best results, it should be read along with a decent book on the Standard Library (for example the one by Nicolai Josuttis). Overall, it's a pleasure to read and learn from, on a par with Mark Joshi's little design-patterns volume, and more detailed!
Financial Instrument Pricing Using C++, by Daniel J. Duffy PDF
Financial Instrument Pricing Using C++, by Daniel J. Duffy EPub
Financial Instrument Pricing Using C++, by Daniel J. Duffy Doc
Financial Instrument Pricing Using C++, by Daniel J. Duffy iBooks
Financial Instrument Pricing Using C++, by Daniel J. Duffy rtf
Financial Instrument Pricing Using C++, by Daniel J. Duffy Mobipocket
Financial Instrument Pricing Using C++, by Daniel J. Duffy Kindle
No comments:
Post a Comment