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Home > Business & Economics > Business General & Other > Modeling Derivatives in C++
Modeling Derivatives in C++
by London, Justin
 
 
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Modeling Derivatives in C++
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.


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Title of ebook: Modeling Derivatives in C++
ISBN: 9780471681892
parent-ISBN: 9780471654643
Publisher: John Wiley & Sons, Inc.
Internet download file size: 8149 kb
Pages: 819
Published: 01-2005
Released online for download: 01-21-2005
Author of eBook: London, Justin
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Modeling Derivatives in C++


Chapter One

Black-Scholes and Pricing Fundamentals

This chapter discusses the most important concepts in derivatives models, including risk-neutral pricing and no-arbitrage pricing. We derive the renowned Black- Scholes formula using these concepts. We also discuss fundamental formulas and techniques used for pricing derivatives in general, as well as those needed for the remainder of this book. In section 1.1, we discuss forward contracts, the most basic and fundamental derivative contract. In section 1.2, we derive the Black-Scholes partial differential equation (PDE). In section 1.3, we discuss the concept of riskneutral pricing and derive Black-Scholes equations for European calls and puts using risk-neutral pricing. In section 1.4, we provide a simple implementation for pricing these European calls and puts. In section 1.5, we discuss the pricing of American options. In section 1.6, we discuss fundamental pricing formulas for derivatives in general. In section 1.7, we discuss the important change of numeraire technique-useful for changing asset dynamics and changing drifts. In section 1.8, Girsanov's theorem and the Radon-Nikodym derivative are discussed for changing probability measures to equivalent martingale measu ... read full excerpt from Modeling Derivatives in C++ ebook



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