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雷达卡
An integrated guide to C++ and computational finance
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++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:
Delving into a detailed account of the new C++11 standard and its applicability to computational finance.
Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity.
Developing multiparadigm software using the object-oriented, generic, and functional programming styles.
Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns.
Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models.
Developing applications, from financial model to algorithmic design and code, through a coherent approach.
Generating interoperability with Excel add-ins, C#, and C++/CLI.
Using random number generation in C++11 and Monte Carlo simulation.
Full source code is available by registering at www.datasimfinancial.com.
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