TY  - BOOK
AU  - Capinski,Marek
AU  - Zastawniak,Tomasz
TI  - Numerical methods in finance with C++
T2  - Mastering mathematical finance
SN  - 9780521177160 (pbk.)
U1  - 332.0285513 23
PY  - 2012///
CY  - New York
PB  - Cambridge university press
KW  - Finance
KW  - mathematical models
KW  - C++ (Computer program language)
N1  - Includes index; Preface; 
1. Binomial pricer; 
2. Binomial pricer revisited; 
3. American options; 
4. Nonlinear solvers; 
5. Monte Carlo methods; 
6. Finite difference methods; 
Index
N2  - 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
ER  -