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Numerical Methods in Finance with C++

£30.99

Part of Mastering Mathematical Finance

  • Date Published: August 2012
  • availability: In stock
  • format: Paperback
  • isbn: 9780521177160

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  • Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

    • Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
    • The mathematics is rigorous but also motivated, so readers see how to apply what they learn
    • Online material includes solutions to exercises and C++ code
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    Product details

    • Date Published: August 2012
    • format: Paperback
    • isbn: 9780521177160
    • length: 175 pages
    • dimensions: 227 x 152 x 11 mm
    • weight: 0.32kg
    • contains: 15 b/w illus. 45 exercises
    • availability: In stock
  • Table of Contents

    Preface
    1. Binomial pricer
    2. Binomial pricer revisited
    3. American options
    4. Nonlinear solvers
    5. Monte Carlo methods
    6. Finite difference methods
    Index.

  • Resources for

    Numerical Methods in Finance with C++

    Maciej J. Capiński, Tomasz Zastawniak

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  • Instructors have used or reviewed this title for the following courses

    • Algorithms in Computational Finanace
    • C++ for Financial Engineering
    • Mathematical Finance ll
  • Authors

    Maciej J. Capiński, AGH University of Science and Technology, Krakow
    Maciej J. Capiński is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer assisted proofs in dynamical systems and celestial mechanics. He has authored eight research publications and supervised over thirty MSc dissertations, mostly in mathematical finance.

    Tomasz Zastawniak, University of York
    Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.

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