Read e-book online Advanced Quantitative Finance with C++ PDF

By Alonso Peña

ISBN-10: 1782167226

ISBN-13: 9781782167228

This booklet will introduce you to the most important mathematical versions used to cost monetary derivatives, in addition to the implementation of major numerical types used to unravel them. specifically, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the ebook, the most mathematical types utilized in the realm of economic derivatives are mentioned. subsequent, the numerical equipment used to resolve the mathematical versions are provided. ultimately, either the mathematical versions and the numerical equipment are used to resolve a few concrete difficulties in fairness, foreign money, rate of interest, and credits derivatives.

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Read e-book online Advanced Quantitative Finance with C++ PDF

This publication will introduce you to the major mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical types used to resolve them. particularly, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the booklet, the most mathematical types utilized in the realm of economic derivatives are mentioned.

Additional resources for Advanced Quantitative Finance with C++

Example text

In this phase, we use the values of the underlying at maturity, and for each of them, we compute the value of the payoff, as follows: ^+ 6 ` N 7 N 1   In our case, the equation can be summarized as follows: ^+ 6  7  + 67  + 67 ` [ 43 ] Numerical Methods The following in turn are the values of the option at maturity T: ^9 N 7 ` + 67N N 1   In our case, the preceding equation can be summarized as follows: ^9  7  97  97 ` 3. The third phase is the backward phase.

The next step is to compute the expectation. Once we have the set of values of the underlying at maturity, we now need to compute the expectation of the payoff at maturity. So we take each of these values and compute the payoff for each value as follows: + 67L L 0 The preceding equation will give us a vector of payoffs. In order to compute the expectation, we need to simply take the average of the payoffs as follows: ( ª¬ + 67L º¼  0 0 ¦ + 6 L  L 7 3. Now discount the expectation to the present.

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Advanced Quantitative Finance with C++ by Alonso Peña


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