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Название: Derivatives Algorithms - Volume 1: Bones, 2nd Edition
Автор: Thomas Hyer
Издательство: World Scientific
Год: 2016
Страниц: 332
Формат: PDF
Размер: 10 Mb
Язык: English
Derivatives Algorithms — Volume 1: Bones (Second Edition) is for practicing quants who already have some expertise in risk-neutral pricing and in programming, and want to build a reusable and extensible library. Rather than specific models, this volume provides foundations common to all pricing, such as C++ code structure, interfaces, and several widely used mathematical methods.