Financial Numerical Recipes in C++
Bernt Arne Ødegaard
April 2007This book is a a discussion of the calculation of specific formulas in finance. The field of finance has seen a
rapid development in recent years, with increasing mathematical sophistication. While the formalization
of the field can be traced back to the work of Markowitz (1952) on investors mean-variance decisions
and Modigliani and Miller (1958) on the capital structure problem, it was the solution for the price of
a call option by Black and Scholes (1973); Merton (1973) which really was the starting point for the
mathematicalization of finance. The fields of derivatives and fixed income have since then been the main
fields where complicated formulas are used. This book is intended to be of use for people who want to
both understand and use these formulas, which explains why most of the algorithms presented later are
derivatives prices.