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Financial Instrument Pricing Using C++ (Wiley Finance)
Free PDF Financial Instrument Pricing Using C++ (Wiley Finance)
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From the Inside Flap
This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. This second edition discusses the latest developments in C++11 (and later versions), modern multithreaded and parallel software libraries and a repeatable process to design applications using system decomposition in conjunction with software design patterns based on a mix of the object-oriented, generic (template) and functional programming models. This C++ machinery is then used to create applications in computational finance such as state-of-art PDE/FDM, Monte Carlo and optimisation. In particular, standard C++ is leveraged as far as possible to create robust, efficient and maintainable code. Functionality from libraries such as Boost, Quantlib and Eigen is also used. Useful for finance professionals who wish to write new applications or to upgrade existing applications to C++11, it is also an ideal companion for MSc/MFE students at universities. Each chapter is accompanied by detailed exercises and full working code is provided for all chapters (those who are interested in a personal copy of the code need to approach the author directly). For queries concerning training and support, please visit www.datasim.nl.
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From the Back Cover
The New Way C++ Does Computational Finance The goal of Financial Instrument Pricing Using C++, Second Edition, is to apply modern C++ language and design features to the creation of efficient and robust applications. This book not only documents these developments, but also highlights the advantages for the quant developer: Comprehensive and detailed exposition of improved and new C++ syntax; extensive examples and application code Using C++11 libraries for random number generation, concurrency, STL and more Overhaul of object-oriented design patterns and porting them to a multiparadigm programming model IEEE 754 and multiprecision; interfacing C++ with .NET and C# Modern PDE/FDM: ADE; Soviet Splitting and Method of Lines, (Parallel) Monte Carlo and lattice methods Support for numerical libraries Machine-readable code Daniel Duffy used a spiral model approach in writing each chapter of this book: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.
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Product details
Series: Wiley Finance
Hardcover: 1168 pages
Publisher: Wiley; 2 edition (October 1, 2018)
Language: English
ISBN-10: 0470971193
ISBN-13: 978-0470971192
Product Dimensions:
7 x 2.3 x 9.9 inches
Shipping Weight: 4.1 pounds (View shipping rates and policies)
Average Customer Review:
5.0 out of 5 stars
1 customer review
Amazon Best Sellers Rank:
#608,899 in Books (See Top 100 in Books)
I really loved this book and am still working through the examples and exercises. I've been a programmer for a while, but I'm new to financial programming and I used C++ years ago (more recently I've been working working in C#). The first 10 or so chapters of this book starts off with an overview of modern C++ and modern libraries, pretty much where I left off when I last used C++. This overview was extremely valuable, I had no idea how much the language has progressed in the last 10 years! The financial parts of the book are just as in-depth and rigorous, and there's a lot to go through! At over 1,000 pages (not counting appendices) I feel like I could lock myself in a room with this book for months.
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