Modeling Derivatives in C++ (Wiley Finance)

作者：JustinLondon

出版社：Wiley

出版年：2004-09-17

页数：819

定价：USD95.00

装帧：Paperback

ISBN：9780471654643

内容简介
······

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.

评论 ······

其实这一本就够了，各种model如何编程都有写，虽然这些model比较老呵呵。最实用的一本书！！ 作者现在美国，具体干什么不清楚，拿了无数个学位。 （这本应该是《Modeling derivatives in C++》）

其实这一本就够了，各种model如何编程都有写，虽然这些model比较老呵呵。最实用的一本书！！ 作者现在美国，具体干什么不清楚，拿了无数个学位。 （这本应该是《Modeling derivatives in C++》）

• 下载电子版：下载地址
• 购买纸质版：京东商城
• 购买纸质版：当当网