000			01853cam a2200265 a 4500
001			136898
003			ISI Library, Kolkata
005			20160601124127.0
008			120419s2012 nyua 001 0 eng
020			_a9780521177160 (pbk.)
040			_aISI Library _beng
082	0	4	_a332.0285513 _223 _bC243
100	1		_aCapinski, Marek, _eauthor
245	1	0	_aNumerical methods in finance with C++ / _cMaciej J. Capinski and Tomasz Zastawniak.
260			_aNew York : _bCambridge university press, _c2012.
300			_ax, 166 p. : _billustrations ; _c23 cm.
490	0		_aMastering mathematical finance
500			_aIncludes index.
505	0		_aPreface; 1. Binomial pricer; 2. Binomial pricer revisited; 3. American options; 4. Nonlinear solvers; 5. Monte Carlo methods; 6. Finite difference methods; Index.
520			_aThis 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.
650		0	_aFinance _xmathematical models.
650		0	_aC++ (Computer program language)
700	1		_aZastawniak, Tomasz, _eauthor
942			_2ddc _cBK
999			_c420525 _d420525