| Description |
xix, 819 pages : illustrations ; 24 cm + 1 CD-ROM (4 3/4 in.) |
|
4 3/4 in |
| Series |
Wiley finance series |
|
Wiley finance series.
|
| Contents |
Ch. 1. Black-scholes and pricing fundamentals -- Ch. 2. Monte Carlo simulation -- Ch. 3. Binomial trees -- Ch. 4. Trinomial trees -- Ch. 5. Finite-difference methods -- Ch. 6. Exotic options -- Ch. 7. Stochastic volatility -- Ch. 8. Statistical models -- Ch. 9. Stochastic multifactor models -- Ch. 10. Single-factor interest rate models -- Ch. 11. Tree-building procedures -- Ch. 12. Two-factor models and the Heath-Jarrow-Morton model -- Ch. 13. LIBOR market models -- Ch. 14. Bermudan and exotic interest rate derivatives -- App. A. Probability review -- App. B. Stochastic calculus review |
| Summary |
"This is the first book to provide the source code for most models used for pricing equity and fixed-income derivatives. Filled with practical advice and helpful tools, Modeling Derivatives in C++ bridges the gap between theory and practice by providing both the theory and mathematical derivations behind the models as well as the actual working code implementations of these models."--BOOK JACKET |
| Notes |
The accompanying CD-ROM contains the QuantPro application, a Quantative Pricing Engine Library, Excel spreadsheets, and Open Source C++ Libraries, as well as Appendices C through F |
| Bibliography |
Includes bibliographical references (pages 792-803) and index |
| Notes |
System requirements for accompanying CD-ROM: PC with Windows |
| Subject |
C++ (Computer program language)
|
|
Derivative securities -- Data processing.
|
| LC no. |
2004042045 |
| ISBN |
0471654647 (cloth) |
|
