Maciej J. Capinski (AGH University of Science and Krako Technology, Tomasz Zastawniak (University of York)

Numerical Methods in Finance with C++

• Broschiertes Buch

Produktbeschreibung

This book focuses on solving and implementing the increasingly complex numerical problems that arise in finance. Readers will learn the numerical techniques and programming skills necessary for any aspiring quant developer. No programming background is required, making the book thoroughly suitable for beginners.

Produktdetails

• Mastering Mathematical Finance
• Verlag: Cambridge University Press
• Seitenzahl: 175
• Erscheinungstermin: 2. August 2012
• Englisch
• Abmessung: 236mm x 154mm x 13mm
• Gewicht: 290g
• ISBN-13: 9780521177160
• ISBN-10: 0521177162
• Artikelnr.: 35483665

Autorenporträt

Maciej J. Capi¿ski 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.

Inhaltsangabe

Preface; 1. Binomial pricer; 2. Binomial pricer revisited; 3. American options; 4. Nonlinear solvers; 5. Monte Carlo methods; 6. Finite difference methods; Index.

Rezensionen

"This book leads the reader directly into the heart of C++ programming technique without too much fuss. And in so doing, the reader also learns some very important and fundamental methods in options pricing. I highly recommend this little gem of a book."
Professor Michael K. Ong, IIT Stuart School of Business