Home | Amazing | Today | Tags | Publishers | Years | Search

Create and implement mathematical models in C++ using Quantitative Finance

• Describes the key mathematical models used for price equity, currency, interest rates, and credit derivatives
• The complex models are explained step-by-step along with a flow chart of every implementation
• Illustrates each asset class with fully solved C++ examples, both basic and advanced, that support and complement the text

## Who This Book Is For

If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level.

## What You Will Learn

• Solve complex pricing problems in financial derivatives using a structured approach with the Bento Box template
• Explore some key numerical methods including binomial trees, finite differences, and Monte Carlo simulation
• Develop your understanding of equity, forex, interest rate, and credit derivatives through concrete examples
• Implement simple and complex derivative instruments in C++
• Discover the most important mathematical models used in quantitative finance today to price derivative instruments
• Effectively Incorporate object oriented programming (OOP) principles into the code

## In Detail

This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives.

The models used include the Black-Scholes and Garman-Kohlhagen models, the LIBOR market model, structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++.

 Low Temperatures And Cold MoleculesNew, unexpected and largely unexplored physical phenomena occur in systems cooled to very low temperatures. The background temperature in the universe is approximately 2.7 K, but much lower temperatures have now been obtained in the laboratory. This book reviews the progress in a number of related fields in which the common themes are low... Fixing Access Annoyances : How to Fix the Most Annoying Things About Your Favorite DatabaseWhen an application is part of the Microsoft Office suite, it's sure to be a leader in its field. In the realm of desktop database management, Access is top dog with millions of users. But this is one dog that can bite. Although Access is a powerful, relational tool with the fetching talents of a Labrador, it's not an easy beast... Windows PowerShell Cookbook: The Complete Guide to Scripting Microsoft's Command Shell How do you use Windows PowerShell to navigate the filesystem, manage files and folders, or retrieve a web page? This introduction to the PowerShell language and scripting environment provides more than 400 task-oriented recipes to help you solve all kinds of problems. Intermediate to advanced system administrators will find more than 100...

 New Global Perspectives on Industrial Engineering and Management: International Joint Conference ICIEOM-ADINGOR-IISE-AIM-ASEM (Lecture Notes in Management and Industrial Engineering) This book presents the proceedings of the 3rd International Joint Conference – ICIEOM-ADINGOR-IISE-AIM-ASEM (IJC2017) “XXIII International Conference on Industrial Engineering and Operations Management”, “International ADINGOR Conference 2017”, “International IISE Conference 2017”,... Cardiovascular Regeneration Therapies Using Tissue Engineering Approaches The cardiovascular system transports oxygen and nutrients to all parts of the body; therefore, any impediment to this system through, for example, a circulatory disorder, represents a serious threat to organs, tissues, and cells. Obstructive diseases of vessels with a diameter of more than 1 mm can be treated by conventional surgical and... Simulating Ecol Evolution Systems C Computer simulations are a powerful tool for understanding ecological and evolutionary systems. Simulating Ecological and Evolutionary Systems in C models a diverse range of biological processes and systems, including competition, foraging, predation, mating systems, and life-history optimization, by simulating large collections of interacting...