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Numerical Methods in Finance with C++ (Mastering Mathematical Finance) - Softcover

Buch 2 von 8: Mastering Mathematical Finance

Capinski, Maciej J.

 
9780521177160: Numerical Methods in Finance with C++ (Mastering Mathematical Finance)
Softcover
ISBN 10: 0521177162 ISBN 13: 9780521177160
Verlag: Cambridge University Press, 2012

Inhaltsangabe

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

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Über die Autorinnen und Autoren

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.

Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.

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Verlag
Cambridge University Press
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
0521177162
ISBN 13 
9780521177160
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
176
Kontakt zum Hersteller
Cambridge University Press
https://www.cambridge.org/

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