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Financial instrument pricing using C++

by Duffy, Daniel J.

Additional authors: ebrary, Inc.

Published by : John Wiley, (Hoboken, NJ :) Physical details: xiv, 418 p. : ill.

Subject(s): Investments -- Mathematical models. | Financial engineering. | C++ (Computer program language) | Electronic books.

Year: 2004

Online resources:

http://site.ebrary.com/lib/rucke/Doc?id=10113956
- An electronic book accessible through the World Wide Web; click to view

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Includes bibliographical references (p. [397]-399) and index.

Template programming in C++ -- Building block classes -- Ordinary and stochastic differential equations -- Programming the black-scholes environment -- Design patterns -- Design and deployment issues.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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