Financial Instrument Pricing Using C++ (Wiley Finance) - Hardcover

Über die Autorin bzw. den Autor

DANIEL J. DUFFY started the company Datasim in 1987 to promote C++ as a new object-oriented language for developing applications in the roles of developer, architect and requirements analyst to help clients design and analyse software systems for Computer Aided Design (CAD), process control and hardware- software systems, logistics, holography (optical technology) and computational finance. He used a combination of top-down functional decomposition and bottom-up object-oriented programming techniques to create stable and extendible applications. Prior to Datasim, he worked on engineering and financial applications in oil and gas and semiconductor industries using a range of numerical methods (for example, the finite element method [FEM]) on mainframe and mini-computers.

Duffy has BA (Mod), MSc and PhD degrees in pure, numerical and applied mathematics and has been active in promoting partial differential equation (PDE) and finite difference methods (FDM) to applications in computational finance. He was responsible for the introduction of the Fractional Step ("Soviet Splitting") method and the Alternating Direction Explicit (ADE) method in computational finance.

He is the originator of two very popular and leading C++ online courses (both C++98 and C++11/14/17) on www.quantnet.com in cooperation with Quantnet LLC and Baruch College (CUNY), NYC. He also trains quants, developers and designers around the world. Duffy can be contacted at dduffy@datasim.nl. In his spare time, he tries to keep in shape by workouts in the dojo.

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The New Way C++ Does Computational Finance

The goal of Financial Instrument Pricing Using C++, Second Edition, is to apply modern C++ language and design features to the creation of efficient and robust applications. This book not only documents these developments, but also highlights the advantages for the quant developer:

• Comprehensive and detailed exposition of improved and new C++ syntax; extensive examples and application code
• Using C++11 libraries for random number generation, concurrency, STL and more
• Overhaul of object-oriented design patterns and porting them to a multiparadigm programming model
• IEEE 754 and multiprecision; interfacing C++ with .NET and C#
• Modern PDE/FDM: ADE; Soviet Splitting and Method of Lines, (Parallel) Monte Carlo and lattice methods
• Support for numerical libraries
• Machine-readable code

Daniel Duffy used a spiral model approach in writing each chapter of this book: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.

Aus dem Klappentext

This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. This second edition discusses the latest developments in C++11 (and later versions), modern multithreaded and parallel software libraries and a repeatable process to design applications using system decomposition in conjunction with software design patterns based on a mix of the object-oriented, generic (template) and functional programming models. This C++ machinery is then used to create applications in computational finance such as state-of-art PDE/FDM, Monte Carlo and optimisation. In particular, standard C++ is leveraged as far as possible to create robust, efficient and maintainable code. Functionality from libraries such as Boost, Quantlib and Eigen is also used.

Useful for finance professionals who wish to write new applications or to upgrade existing applications to C++11, it is also an ideal companion for MSc/MFE students at universities. Each chapter is accompanied by detailed exercises and full working code is provided for all chapters (those who are interested in a personal copy of the code need to approach the author directly).

For queries concerning training and support, please visit www.datasim.nl.