By Alonso Peña Ph.D.
About This Book
- Describes the foremost mathematical versions used for cost fairness, foreign money, rates of interest, and credits derivatives
- The advanced types are defined step by step in addition to a move chart of each implementation
- Illustrates each one asset category with absolutely solved C++ examples, either uncomplicated and complicated, that help and supplement the text
Who This e-book Is For
If you're a quantitative analyst, possibility supervisor, actuary, or a certified operating within the box of quantitative finance and need a short hands-on advent to the pricing of economic derivatives, this ebook is perfect for you. try to be conversant in the elemental programming thoughts and C++ programming language. you might want to even be familiar with calculus of undergraduate level.
What you'll Learn
- Solve advanced pricing difficulties in monetary derivatives utilizing a established technique with the Bento field template
- Explore a few key numerical tools together with binomial timber, finite modifications, and Monte Carlo simulation
- Develop your realizing of fairness, currency, rate of interest, and credits derivatives via concrete examples
- Implement easy and intricate spinoff tools in C++
- Discover an important mathematical versions utilized in quantitative finance this day to cost by-product instruments
- Effectively contain item orientated programming (OOP) ideas into the code
This publication will introduce you to the major mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical types used to resolve them. specifically, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the ebook, the most mathematical types utilized in the realm of economic derivatives are mentioned. subsequent, the numerical tools used to resolve the mathematical types are provided. ultimately, either the mathematical types and the numerical equipment are used to unravel a few concrete difficulties in fairness, currency, rate of interest, and credits derivatives.
The versions used contain the Black-Scholes and Garman-Kohlhagen types, the LIBOR industry version, structural and depth credits versions. The numerical tools defined are Monte Carlo simulation (for unmarried and a number of assets), Binomial bushes, and Finite distinction equipment. you'll find implementation of concrete difficulties together with eu name, fairness Basket, foreign money ecu name, FX Barrier alternative, rate of interest switch, financial ruin, and credits Default switch in C++.
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