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Numerical Methods in Finance with C++ (Paperback, New)
Loot Price: R1,168
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Numerical Methods in Finance with C++ (Paperback, New)
Series: Mastering Mathematical Finance
Expected to ship within 9 - 15 working days
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Driven by concrete computational problems in quantitative finance,
this book provides aspiring quant developers with the numerical
techniques and programming skills they need. The authors start from
scratch, so the reader does not need any previous experience of
C++. Beginning with straightforward option pricing on binomial
trees, the book gradually progresses towards more advanced topics,
including nonlinear solvers, Monte Carlo techniques for
path-dependent derivative securities, finite difference methods for
partial differential equations, and American option pricing by
solving a linear complementarity problem. Further material,
including solutions to all exercises and C++ code, is available
online. The book is ideal preparation for work as an entry-level
quant programmer and it gives readers the confidence to progress to
more advanced skill sets involving C++ design patterns as applied
in finance.
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