Introduction to C++ for Financial Engineers

An Object-Oriented Approach

Daniel J. Duffy - Collection Wiley Finance

424 pages, parution le 06/10/2006

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Résumé

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required. - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:

C++ fundamentals and object-oriented thinking in QF
Advanced object-oriented features such as inheritance and polymorphism
Template programming and the Standard Template Library (STL)
An introduction to GOF design patterns and their applications in QF Applications

The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.

This book contains a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.

This book is the perfect companion to Daniel J. Duffy's book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096)

L'auteur - Daniel J. Duffy

Daniel J. Duffy has been involved in software development projects using C++ and object-oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object-oriented system for derivatives' pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.

A companion book to the current one is "Financial instrument pricing using C++" (Wiley 2004). Since 1996 he has written seven books on object-oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.

Sommaire

C++ Essential Skills
Data Structures, Templates and Patterns
QF Applications
Background Information
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Daniel J. Duffy
Collection	Wiley Finance
Parution	06/10/2006
Nb. de pages	424
Format	17 x 25
Couverture	Relié
Poids	1000g
Intérieur	Noir et Blanc
EAN13	9780470015384
ISBN13	978-0-470-01538-4