
06066614
b
2013c.00773
Capi\'nski, Maciej
Zastawniak, Tomasz
Numerical methods in finance with C++.
Mastering Mathematical Finance. Cambridge: Cambridge University Press (ISBN 9780521177160/pbk; 9781107003712/hbk; 9781139533980/ebook). x, 166~p. \sterling~24.00; \$~39.00/pbk; \sterling~50.00; \$~80.00/hbk; \$~32.00/ebook (2012).
2012
Cambridge: Cambridge University Press
EN
M35
N45
N55
N35
binomial pricer
American options
nonlinear solvers
Monte Carlo methods
finite difference methods
doi:10.1017/CBO9781139017404.001
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 nonlinear solvers, Monte Carlo techniques for pathdependent derivative securities, finitedifference 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.
Yuliya S. Mishura (Ky{\"\i}v)