Building Financial Derivatives Applications with C++

Book flyer
MS Word
International
MS Word

Robert Brooks

Book Code: Q287

ISBN: 1-56720-287-X

ISBN-13: 978-1-56720-287-8

DOI:

232 pages, figures, tables, appendices

Quorum Books

Publication: 3/30/2000

List Price: $125.00 (UK Sterling Price: £70.00)

Availability: In Stock

Media Type: Hardcover

Trim Size: 6 1/8 x 9 1/4

Subjects:

Description: Radical developments in financial management, spurred by improvements in computer technology, have created demand for people who can use modern financial techniques combined with computer skills such as C++. Dr. Brooks gives readers the ability to express derivative solutions in an attractive, user-friendly format, and the ability to develop a permanent software package containing them. His book explains in detail how to write C++ source code and at the same time explains derivative valuation problems and methods. Entry level as well as experienced financial professionals have already found that the ability to understand and write C++ code has greatly enhanced their careers. This is an important hands-on training resource for practitioners and a clearly presented textbook for graduate-level students in business and finance. Dr. Brooks combines object-oriented C++ programming with modern derivatives technology and provides numerous examples to illustrate complex derivative applications. He covers C++ within the text and the Borland C++Builder program, on which the book is based, in extensive appendices. His book combines basic C++ coding with fundamental finance problems, illustrates traditional techniques for solving more complicated problems, and develops the reader's ability to express complex mathematical solutions in the object-oriented framework of C++. It also reviews derivative solutions techniques and illustrates them with C++ code, reviews general approaches to valuing interest rate contingent claims, and focuses on practical ways to implement them. The result is a book that trains readers simultaneously in the substance of its field, financial derivatives, and the programming of solutions to problems in it.

Table of Contents:

Preface
Introduction
Introduction to C++
Derivatives Valuation
Tools of the Trade
Valuing Forward Contracts and Interest Rate Swaps
Valuing Stock Options
Building Interest Rate Trees
Mortgage-Backed Securities and Monte Carlo Simulation
Value-At-Risk and Summary
Bibliography
Index

LC Card Number: 99-045994

LCC Class: HG6024

Dewey Class: 332


All rights reserved. Copyright © 1999-2008 Greenwood Publishing Group, Inc. 88 Post Road West, Westport CT 06881, (203) 226-3571