This is a book on designing & implementing robust and flexible software for applications for financial instrument pricing problems using C++. The approach is very practical and will be geared towards IT professionals within banks involved in designing and implementing numerical models for financial derivative products. The book will provide a step-by-step account of how to price financial derivatives using C++, design patterns and state-of-the-art numerical schemes and methods.
Book Details:
- Author: Daniel J. Duffy
- ISBN: 9780470020487
- Year Published: 2004
- Pages: 432
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
This is a book on designing & implementing robust and flexible software for applications for financial instrument pricing problems using C++. The approach is very practical and will be geared towards IT professionals within banks involved in designing and implementing numerical models for financial derivative products. The book will provide a step-by-step account of how to price financial derivatives using C++, design patterns and state-of-the-art numerical schemes and methods.
Good applied title for the Wiley Finance Series
Provides a step-by-step account of how to price financial derivatives using C++, design patterns, and state-of-the-art numerical schemes and methods. Illustrates how to apply C++ to financial derivatives. Written by an author who has extensive experience in this field.
About the Author
Daniel Duffy is a numerical analyst who has been working in the IT business since 1979. He has been involved in the analysis, design and implementation of systems using object-oriented, component and (more recently) intelligent agent technologies to large industrial and financial applications. As early as 1993 he was involved in C++ projects for risk management and options applications with a large Dutch bank. His main interest is in finding robust and scalable numerical schemes that approximate the partial differential equations that model financial derivatives products. He has an M.Sc. in the Finite Element Method first-order hyperbolic systems and a Ph.D. in robust finite difference methods for convection-diffusion partial differential equations. Both degrees are from Trinity College, Dublin, Ireland. Daniel Duffy is founder of Datasim Education and Datasim Component Technology, two companies involved in training, consultancy and software development.