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Index
Advanced Quantitative Finance with C++
Credits
About the Author
Acknowledgments
About the Reviewer
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Preface
What this book covers
What you need for this book
Who this book is for
Conventions
Reader feedback
Customer support
Downloading the example code
Errata
Piracy
Questions
1. What is Quantitative Finance?
Discipline 1 – finance (financial derivatives)
Discipline 2 – mathematics
Discipline 3 – informatics (C++ programming)
The Bento Box template
Summary
2. Mathematical Models
Equity
Foreign exchange
Interest rates
Short rate models
Market models
Credit
Structural models
Intensity models
Summary
3. Numerical Methods
The Monte Carlo simulation method
Algorithm of the MC method
Example of the MC method
The Binomial Trees method
Algorithm of the BT method
Example of the BT method
The Finite Difference method
Algorithm of FDM
Example of the FD method
Summary
4. Equity Derivatives in C++
Basic example – European Call
Advanced example – equity basket
Summary
5. Foreign Exchange Derivatives with C++
Basic example – European FX Call (FX1)
Advanced example – FX barrier option (FX2)
Summary
6. Interest Rate Derivatives with C++
Basic example – plain vanilla IRS (IR1)
Advanced example – IRS with Cap (IR2)
Summary
7. Credit Derivatives with C++
Basic example – bankruptcy (CR1)
Advanced example – CDS (CR2)
Summary
A. C++ Numerical Libraries for Option Pricing
Numerical recipes
Financial numerical recipes
The QuantLib project
The Boost library
The GSL library
B. References
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Appendix A
Index
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