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.
Book Details:
- Author: Justin London
- ISBN: 9780471654643
- Year Published: 2005
- Pages: 840
- BISAC: BUS063000, BUSINESS & ECONOMICS/Strategic Planning
About the Book and Topic:
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.
Many books about derivatives and stochastic finance are too technical and most focus exclusively on the theory behind the models rather than on their practical implementation and use in the real world. Modeling Derivatives in C++ takes a unique route in the field and discusses derivative models used in practice and focuses on their implementation using C++ code instead of the pseudo-code presented by the competition. London provides the implementation and coding for many derivatives pricing models, for both equity and fixed income securities, to implement both Monte Carlo methods, binomial and trinomial trees, analytical formulae, as well as numerical methods, i.e., explicit and implicit methods, to price various derivatives based on the (Black-Scholes type) partial differential equation and initial and boundary conditions that such derivatives must satisfy.
COMPREHENSIVE GUIDE to derivatives pricing models and their code in C++. Quants and other practitioners need the math behind the models and both they and their programmers need the code to implement. PROVIDES READERS WITH C++ CODE. Gives readers not just the theory and math behind the models, but actual C++ code used to implement the models; no more pseudo code. OFFERS IMPLEMENTATION DETAILS. Focuses on providing complete implementation details, the application behind the difficult math. COMES WITH A CD-ROM. The CD contains quantitative libraries, tools, applications, and resources that will be of use and value to those doing quantitative programming and analysis in C++.
About the Author
Justin London is the founder and visionary of GlobalMaxTrading.com (GMT), The Worlds Online Financial Supermarket, a global online trading and financial technology company, as well as GlobalMaxAuctions.com, The Worlds Online Trading Exchange , a global B2C and B2B auction and trading company. He has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed-income derivatives with a focus on building interest rate models. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.