Numerical Methods in Finance with C++ (Mastering Mathematical Finance) - Tapa blanda

Capinski, Maciej J.

 
9780521177160: Numerical Methods in Finance with C++ (Mastering Mathematical Finance)
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ISBN 10: 0521177162 ISBN 13: 9780521177160
Editorial: Cambridge University Press, 2012

Sinopsis

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.

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Acerca del autor

Maciej J. Capinski 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 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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Editorial
Cambridge University Press
Año de publicación
2012
Idioma
Inglés
ISBN 10 
0521177162
ISBN 13 
9780521177160
Encuadernación
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Número de páginas
176
Contacto del fabricante
Cambridge University Press
https://www.cambridge.org/

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Otras ediciones populares con el mismo título

9781107003712: Numerical Methods in Finance with C++ (Mastering Mathematical Finance)

Edición Destacada

ISBN 10:  1107003717 ISBN 13:  9781107003712
Editorial: Cambridge University Press, 2012
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