Financial instrument pricing using C++

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Financial instrument pricing using C++ / Daniel J. Duffy

資料種別:: 図書
出版情報:: Chichester : John Wiley, c2004
形態:: xiv, 418 p. ; 26 cm. + 1 CD-ROM
シリーズ名:: Wiley finance series <BA5197584X>
著者名:: Duffy, Daniel J., 1952- <DA19118050>
ISBN:: 9780470855096 [0470855096] ((cloth : alk. paper))
書誌ID:: BA71054717

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注記:

Includes bibliographical references and index

主題:

C++ (Computer program language); Financial engineering

言語:

英語

目次情報:

Executive Overview of this Book / 1：

What is this book? / 1.1：

What's special about this book? / 1.2：

Who is this book for? / 1.3：

Software requirements / 1.4：

The structure of this book / 1.5：

Pedagogical approach / 1.6：

What this book is not / 1.7：

Source code on the CD / 1.8：

Template Programming in C++ / Part 1：

A Gentle Introduction to Templates in C++ / 2：

Introduction and objectives / 2.1：

Motivation and background / 2.2：

Defining a template / 2.3：

An example / 2.3.1：

Template instantiation / 2.4：

Function templates / 2.5：

Default values and typedefs / 2.5.1：

Guidelines when implementing templates / 2.7：

Conclusions and summary / 2.8：

An Introduction to the Standard Template Library / 3：

Why use STL? / 3.1：

A Bird's-eye view of STL / 3.2：

Sequence containers / 3.3：

Programming lists / 3.3.1：

Vectors and arrays in STL / 3.3.2：

Associative containers / 3.4：

Sets in STL / 3.4.1：

Maps in STL / 3.4.2：

Iterators in STL / 3.5：

What kinds of iterators? / 3.5.1：

Algorithms / 3.6：

Using STL for financial instruments / 3.7：

STL for Financial Engineering Applications / 3.8：

Clever data structures / 4.1：

A simple output mechanism / 4.2.1：

Set theory and STL / 4.3：

Useful algorithms / 4.4：

STL adaptor containers / 4.5：

The Property Pattern in Financial Engineering / 4.6：

The Property pattern / 5.1：

Requirements for a Property pattern / 5.2.1：

Extending the Property pattern: property sets and property lists / 5.3：

Properties and exotic options / 5.4.1：

Example: Executive options / 5.5.1：

Building Block Classes / 5.6：

Arrays, Vectors and Matrices / 6：

A layered approach / 6.1：

The Array and Matrix classes in detail / 6.4：

Simple print functions / 6.4.1：

Array example / 6.4.2：

Matrix example / 6.4.3：

The Vector and NumericMatrix classes in detail / 6.5：

Vector example / 6.5.1：

NumericMatrix example / 6.5.2：

Associative arrays and matrices / 6.6：

Arrays and Matrix Properties / 6.7：

An overview of the functionality / 7.1：

Accuracy / 7.3：

Efficiency / 7.3.2：

Reliability / 7.3.3：

Understandability / 7.3.4：

The core processes / 7.4：

Interactions between matrices and vectors / 7.4.1：

Some examples / 7.4.2：

Other function categories / 7.5：

Measures of central tendency / 7.5.1：

Measures of dispersion / 7.5.2：

Moments, skewness, kurtosis / 7.5.3：

Inequalities / 7.5.4：

Using the functions / 7.6：

Calculating historical volatility / 7.6.1：

Variance of return of a portfolio / 7.6.2：

An introduction to exception handling / 7.7：

Try, throw and catch: A bit like tennis / 7.7.1：

Numerical Linear Algebra / 7.8：

An introduction to numerical linear algebra / 8.1：

Direct methods / 8.2.1：

Iterative methods / 8.2.2：

Tridiagonal systems / 8.3：

LU decomposition / 8.3.1：

Godunov's Double Sweep method / 8.3.2：

Designing and implementing tridiagonal schemes / 8.3.3：

Block tridiagonal systems / 8.4：

What requirem / 8.5：

Executive Overview of this Book / 1：

What is this book? / 1.1：

What's special about this book? / 1.2：

Who is this book for? / 1.3：

Software requirements / 1.4：

The structure of this book / 1.5：

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