财务工具定价 C++ 的应用 Financial Instrument Pricing

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One of the best languages for the development of financial engineering and instrument pricing applications is C++.
This book has several features that allow developers to write robust, flexible and extensible software systems.
The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications.
It has support for templates and generic programming, massive reusability using templates ( write once ) and support for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models.

He employs modern software engineering techniques to produce industrial-strength applications:

Using the Standard Template Library (STL) in finance
Creating your own template classes and functions
Reusable data structures for vectors, matrices and tensors
Classes for numerical analysis (numerical linear algebra )
Solving the Black Scholes equations, exact and approximate solutions
Implementing the Finite Difference Method in C++
Integration with the Gang of Four Design Patterns
Interfacing with Excel (output and Add-Ins)
Financial engineering and XML
Cash flow and yield curves

Included with the book is a CD containing the source code in the Datasim Financial Toolkit.
You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.
‘Unique… Let’s all give a warm welcome to modern pricing tools.’

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– Paul Wilmott, mathematician, author and fund manager
http://novian.web.ugm.ac.id/jump.php?id=2549

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关键词：Instrument financial Financia inancial nancial financial Using Pricing Instrument

Levy Processes in Finance: Pricing Financial Derivatives
Publisher: Wiley | Pages: 196 | 2003-03-25 | ISBN 0470851562 | PDF | 2 MB

Editorial ReviewsProduct DescriptionFinancial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. Lévy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Lévy-based models, and features many examples of how they may be used to solve problems in finance.

• Provides an introduction to the use of Lévy processes in finance.
• Features many examples using real market data, with emphasis on the pricing of financial derivatives.
• Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.
• Includes many figures to illustrate the theory and examples discussed.
• Avoids unnecessary mathematical formalities.

The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.


From the Back CoverFinancial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. Lévy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Lévy-based models, and features many examples of how they may be used to solve problems in finance.

• Provides an introduction to the use of Lévy processes in finance.
• Features many examples using real market data, with emphasis on the pricing of financial derivatives.
• Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.
• Includes many figures to illustrate the theory and examples discussed.
• Avoids unnecessary mathematical formalities.

The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.


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