Modeling Derivatives in C++ (+CD) / Edition 1

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Overview

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
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Product Details

  • ISBN-13: 9780471654643
  • Publisher: Wiley
  • Publication date: 8/20/2004
  • Series: Wiley Finance Series , #263
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 840
  • Product dimensions: 7.50 (w) x 9.20 (h) x 1.80 (d)

Meet the Author

Justin London is the founder and visionary of GlobalMaxTrading.com (GMT), The World’s Online Financial Supermarket®, a global online trading and financial technology company, as well as GlobalMaxAuctions.com, The World’s Online Trading Exchange ®, a global B2C and B2B auction and trading company. He has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed-income derivatives with a focus on building interest rate models. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.
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Table of Contents

Ch. 1 Black-scholes and pricing fundamentals 1
Ch. 2 Monte Carlo simulation 45
Ch. 3 Binomial trees 123
Ch. 4 Trinomial trees 165
Ch. 5 Finite-difference methods 183
Ch. 6 Exotic options 246
Ch. 7 Stochastic volatility 274
Ch. 8 Statistical models 324
Ch. 9 Stochastic multifactor models 367
Ch. 10 Single-factor interest rate models 395
Ch. 11 Tree-building procedures 467
Ch. 12 Two-factor models and the Heath-Jarrow-Morton model 554
Ch. 13 LIBOR market models 630
Ch. 14 Bermudan and exotic interest rate derivatives 710
App. A Probability review 771
App. B Stochastic calculus review 783
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  • Anonymous

    Posted March 15, 2005

    The Best Derivatives Book

    This book is perhaps the best book written and most comprehenisve book in the field of finance and derivatives. It is a must have fo r any student, practitioner, developer, or trader in quant finance. This book helped me get a high-paying job because I mastered the difficult concepts that are a must have for anybody working in derivatives. It covers all the equity and fixed-income models used on Wall Street in detail, providing not only the mathematics and theory, but the pratical implementation of the models in C++. It is the first book to bridge theory with practice. The book is much more useful than Hull's book (or any other derivatives book) because it has all the code and gives real-world examples using Bloomberg data.

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