Quantitative Finance : An Object-Oriented Approach in C++

""I recommend Erik Schlogl's new book to all those interested in model implementation. From quasi-random sequences to HJM to the Excel interface, with full C++ code, there is something here for everyone.""-Jim Gatheral, Presidential Professor, Baruch College, CUNY""If 25 years ago I had started in finance using C instead of Visual Basic, perhaps now I might be approximating Prof. Schlogl's balanced and professional C++ framework for pricing financial derivatives. From interacting with quants writing production code I have learnt that several years' experience with C++ can be dangerous as the p

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Year of publication:	2013
Authors:	Schlogl, Erik
Publisher:	Hoboken : CRC Press
Subject:	Finanzmathematik \| Mathematical finance \| Optionspreistheorie \| Option pricing theory \| Finanzmarkt \| Financial market
Description of contents:	Table of Contents [gbv.de] ; Description [zbmath.org]

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Extent:	Online-Ressource (350 p)
Series:	Chapman and Hall / CRC Financial Mathematics Series Chapman and Hall/CRC Financial Mathematics Ser.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Front Cover; Dedication; Contents; Preface; Acknowledgements; 1. A brief review of the C++ programming language; 2. Basic building blocks; 3. Lattice models for option pricing; 4. The Black/ Scholes world; 5. Finite difference methods; 6. Implied volatility and volatility smiles; 7. Monte Carlo simulation; 8. The Heath/ Jarrow/ Morton model; A. Interfacing between C++ and Microsoft Excel; B. Automatic generation of documentation using Doxygen; References
ISBN:	978-1-58488-479-8 ; 978-1-4398-9795-9 ; 978-1-58488-479-8
Source:	ECONIS - Online Catalogue of the ZBW

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