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Название: Modeling derivatives in C++
Автор: Justin London
Издательство: John Wiley & Sons
Год: 2005
Формат: PDF
Страниц: 841
Размер: 10,76 МБ
Язык: English
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives.