Numerical methods in finance with C++. (Q5891709)
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scientific article; zbMATH DE number 6066614
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods in finance with C++. |
scientific article; zbMATH DE number 6066614 |
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16 August 2012
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binomial pricer
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American options
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non-linear solvers
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Monte Carlo methods
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finite difference methods
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Numerical methods in finance with C++. (English)
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The book is about numerical methods combined with C++ programming skills, driven by concrete computational problems in quantitative finance. It begins with straightforward option pricing on binomial trees, and progresses towards non-linear solvers, Monte Carlo techniques for path-dependent derivative securities, finite-difference methods for partial differential equations, and American options pricing by solving a linear complementary problem. Prior knowledge of numerical methods as well as familiarity with C++ is not a prerequisite. The book is addressed to the readers who is interested in both the numerical techniques and programming language in application to finance.
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