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Financial Numerical Recipes in C plus plus.

Author: Bernt Arne Odegaard
Url: http://finance.bi.no/~bernt/gcc_prog/recipes/recipes.pdf
Format: Pdf
Year: 2007
Category: Numerical Methods
Pages: 262
Clicks: 4132

Contents: on C plus plus programming; matrix tools; the value of time; bond pricing with a flat term structure; the term structure of interest rates and object lesson; the Mean Variance Frontier; Future algorithms; Binomial option pricing; basic option pricing, the Black Scholes formula;Warrants; Extending the Black Scholes formula; option pricing with binomial approximations; finite differences; option pricing by simulation; generic binomial pricing; trinomial trees; alternatives to the Black Scholes option formula; pricing of bond options basic models; credit risk; term structure models; binomial term structure models; interest rate trees; buiding term structure tree using the Ho and Lee approach; term structure derivatives.

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