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John Armstrong

C++ for Financial Mathematics

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€61.50
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Author_John Armstrong
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Category=KCH
Category=KF
Category=KFF
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Cpp File
Cumulative Distribution Function
Curly Brackets
Default Constructor
Delta Hedging Strategy
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
finite difference methods
Function Declarations
GNU Scientific Library
GSL
Header File
Keyword Const
Member Function
Member Variables
Modern Languages
Monte Carlo Pricer
Monte Carlo Pricing
multi-threaded programming
Path Independent Option
Portfolio Class
Random Number Generator
risk calculations
Risk Neutral Price
Stock Price Path
UML Diagram
unit testing
Violate
Virtual Destructor
Visual Studio
Wo

Product details

  • ISBN 9781032097213
  • Weight: 453g
  • Dimensions: 156 x 234mm
  • Publication Date: 30 Jun 2021
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
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Description

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you.

C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples.

As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures.

The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.
About John Armstrong
John Armstrong is a Lecturer in financial mathematics, probability and statistics at King’s College London. He has 15 years experience in the financial industry working as a software architect. He co-founded Yolus and designed their innovative risk management system which was adopted by numerous major banks. He has also worked for ION Trading, Dresdner Kleinwort Wasserstein and was an executive director at Goldman Sachs.