Financial Numerical Recipes in C++ by Bernt Arne

Financial Numerical Recipes in C++ by Bernt Arne

In finance, there are areas where formulas tend to get involved. Sometimes it can be easier to follow an exact computer routine. The author has created some C ++ subroutines that implement common algorithms in finance. Typical examples are option / derivative prices, term structure calculations, analysis of mean variance. These routines are presented along with a good amount of explanations and usage examples, but it is by no means a complete “book” with all the answers and explanations.

All routines have been performed to confirm the new ISO / ANSI C ++ standard, using concepts such as namespaces and the standard template library. The latest C ++ standard (2011) introduced some useful simplifications, which are incorporated in some places.

I am planning to make it into a book, but even in its incomplete state it should provide a good number of useful examples and algorithms for people working in the field of finance. The manuscript and codes will be added as you have time. All code must comply with the current ANSI C ++ standard.

This book is a discussion of calculating specific formulas in finance. The field of finance has undergone rapid development in recent years, with increasing mathematical sophistication.

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