| Document Type
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BL
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| Record Number
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878315
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| Main Entry
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Duffy, Daniel J.
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| Title & Author
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Financial instrument pricing using C++ /\ Daniel J. Duffy.
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| Edition Statement
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Second edition.
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| Publication Statement
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Hoboken, NJ :: Wiley,, [2018]
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| Series Statement
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Wiley finance series
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| Page. NO
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1 online resource
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| ISBN
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1119170486
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: 1119170494
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: 1119170516
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: 9781119170488
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: 9781119170495
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: 9781119170518
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9780470971192
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| Notes
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Revised and updated edition of the author's Financial instrument pricing using C++, c2004.
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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A tour of C++ and environs -- New and improved C++ fundamentals -- Modelling functions in C++ -- Advanced c++ template programming -- Tuples in c++ and their applications -- Type traits, advanced lambdas and multiparadigm design in C++ -- Multiparadigm design in C++ -- C++ numerics, IEEE754 and boost C++ multiprecision -- An introduction to unified software design (USD) -- New data types, containers and algorithms in C++ and boost C++ libraries -- Lattice models fundamental data structures and algorithms -- Lattice models applications to computational finance -- Numerical linear algebra : tridiagonal systems and applications -- Data visualisation in Excel -- Univariate statistical distributions -- Bivariate statistical distributions and two-asset option pricing -- STL algorithms in detail -- STL algorithms part II -- An introduction to optimisation and the solution of nonlinear equations -- The finite difference method for PDEs mathematical background -- Software framework for one-factor option models -- Extending the software framework -- A PDE software framework in C++11 for a class of path-dependent options -- Ordinary differential equations and their numerical approximation -- Advanced ordinary differential equations and method of lines (MOL) -- Random number generation and distributions -- Microsoft .net, C# and C++11 interoperability -- C++ concurrency, Part I Threads -- C++ concurrency, part II Tasks -- Parallel patterns language (PPL) -- Monte Carlo simulation, Part I -- Monte Carlo simulation, Part II -- Bibliography -- Appendix -- Index.
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| Subject
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C++ (Computer program language)
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| Subject
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Financial engineering.
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Investments-- Mathematical models.
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BUSINESS ECONOMICS-- Finance.
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| Subject
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C++ (Computer program language)
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Financial engineering.
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Investments-- Mathematical models.
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| Dewey Classification
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332.60285/5133
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| LC Classification
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HG4515.2
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