Modeling Derivatives in C++

Justin London - Collection Wiley Finance

820 pages, parution le 26/01/2005

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Résumé

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data.

A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

Sommaire

Black-Scholes and Pricing Fundamentals
Monte Carlo Simulation
Binomial Trees
Trinomial Trees
Finite-Difference Methods
Exotic Options
Stochastic Volatility
Statistical Models
Stochastic Multifactor Models
Single-Factor Interest Rate Models
Tree-Building Procedures
Two-Factor Models and the Heath-Jarrow-Morton Model
LIBOR Market Models
Bermudan and Exotic Interest Rate Derivatives
A: Probability Review
B: Stochastic Calculus Review

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Justin London
Collection	Wiley Finance
Parution	26/01/2005
Nb. de pages	820
Format	19 x 23,5
Couverture	Broché
Poids	14130g
Intérieur	Noir et Blanc
EAN13	9780471654643
ISBN13	978-0-471-65464-3