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Numerical Methods in Finance with C++ Maciej J. Capinski (AGH University of Science and Technology, Krakow)

Numerical Methods in Finance with C++ By Maciej J. Capinski (AGH University of Science and Technology, Krakow)

Numerical Methods in Finance with C++ by Maciej J. Capinski (AGH University of Science and Technology, Krakow)


$39.99
Condition - Very Good
Only 1 left

Summary

This book focuses on solving and implementing the increasingly complex numerical problems that arise in finance. Readers will learn the numerical techniques and programming skills necessary for any aspiring quant developer. No programming background is required, making the book thoroughly suitable for beginners.

Numerical Methods in Finance with C++ Summary

Numerical Methods in Finance with C++ by Maciej J. Capinski (AGH University of Science and Technology, Krakow)

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.

Numerical Methods in Finance with C++ Reviews

This book leads the reader directly into the heart of C++ programming technique without too much fuss. And in so doing, the reader also learns some very important and fundamental methods in options pricing. I highly recommend this little gem of a book. Professor Michael K. Ong, IIT Stuart School of Business
I find the monograph to be an excellent integration of the object-oriented concepts of C++ and the classical numerical techniques used in quantitative finance. Throughout the book, there is an introduction to the numerical technique to be used, along with the need for such a method from the prospective of financial mathematics. After this discussion, the C++ source code that implements the technique is not only given but also annotated to highlight or to clarify reasons for the use of certain object-oriented constructs. As the authors comment, there are some source files which are not listed but are available from the publisher's web site. The monograph is an exceptional book for demonstrating the implementation of the various aspects of C++ in a very concrete fashion. There is substance given to C++ concepts that are introduced in basic programming courses but seldom framed in a realistic setting. The reader, however, should have some familiarity with C++ and mathematical finance, prior to reading the monograph. The book is not intended to be an introduction to either object-oriented C++ or mathematical finance. With such a background, the style and the content of the book make for an informative experience. Professor Sherman Wong, City University of New York

About Maciej J. Capinski (AGH University of Science and Technology, Krakow)

Maciej J. Capinski 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.

Table of Contents

Preface; 1. Binomial pricer; 2. Binomial pricer revisited; 3. American options; 4. Nonlinear solvers; 5. Monte Carlo methods; 6. Finite difference methods; Index.

Additional information

GOR005751033
9780521177160
0521177162
Numerical Methods in Finance with C++ by Maciej J. Capinski (AGH University of Science and Technology, Krakow)
Used - Very Good
Paperback
Cambridge University Press
2012-08-02
175
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us

Customer Reviews - Numerical Methods in Finance with C++