id: 06066614
dt: b
an: 2013c.00773
au: Capiński, Maciej; Zastawniak, Tomasz
ti: Numerical methods in finance with C++.
so: Mastering Mathematical Finance. Cambridge: Cambridge University Press (ISBN
978-0-521-17716-0/pbk; 978-1-107-00371-2/hbk; 978-1-139-53398-0/ebook).
x, 166~p. \sterling~24.00; \$~39.00/pbk; \sterling~50.00; \$~80.00/hbk;
\$~32.00/ebook (2012).
py: 2012
pu: Cambridge: Cambridge University Press
la: EN
cc: M35 N45 N55 N35
ut: binomial pricer; American options; non-linear solvers; Monte Carlo methods;
finite difference methods
ci:
li: doi:10.1017/CBO9781139017404.001
ab: The book is about numerical methods combined with C++ programming skills,
driven by concrete computational problems in quantitative finance. It
begins with straightforward option pricing on binomial trees, and
progresses towards non-linear solvers, Monte Carlo techniques for
path-dependent derivative securities, finite-difference methods for
partial differential equations, and American options pricing by solving
a linear complementary problem. Prior knowledge of numerical methods as
well as familiarity with C++ is not a prerequisite. The book is
addressed to the readers who is interested in both the numerical
techniques and programming language in application to finance.
rv: Yuliya S. Mishura (Kyïv)