Wiley - Financial Instrument Pricing Using CPP

• Table of Contents
• Financial Instrument Pricing Using C++
• Chapter 1: Executive Overview of this Book
  • 1.2 WHAT's SPECIAL ABOUT THIS BOOK?
  • 1.3 WHO IS THIS BOOK FOR?
  • 1.4 SOFTWARE REQUIREMENTS
  • 1.5 THE STRUCTURE OF THIS BOOK
  • 1.6 PEDAGOGICAL APPROACH
  • 1.7 WHAT THIS BOOK IS NOT
  • 1.8 SOURCE CODE ON THE CD
• Part I: Template Programming in C++
  • Chapter 2: A Gentle Introduction to Templates in C++
    • 2.2 MOTIVATION AND BACKGROUND
    • 2.3 DEFINING A TEMPLATE
    • 2.4 TEMPLATE INSTANTIATION
    • 2.5 FUNCTION TEMPLATES
    • 2.6 DEFAULT VALUES AND TYPEDEFS
    • 2.7 GUIDELINES WHEN IMPLEMENTING TEMPLATES
    • 2.8 CONCLUSIONS AND SUMMARY
  • Chapter 3: An Introduction to the Standard Template Library
    • 3.2 A BIRD's-EYE VIEW OF STL
    • 3.3 SEQUENCE CONTAINERS
    • 3.4 ASSOCIATIVE CONTAINERS
    • 3.5 ITERATORS IN STL
    • 3.6 ALGORITHMS
    • 3.7 USING STL FOR FINANCIAL INSTRUMENTS
    • 3.8 CONCLUSIONS AND SUMMARY
  • Chapter 4: STL for Financial Engineering Applications
    • 4.2 CLEVER DATA STRUCTURES
    • 4.3 SET THEORY AND STL
    • 4.4 USEFUL ALGORITHMS
    • 4.5 STL ADAPTOR CONTAINERS
    • 4.6 CONCLUSIONS AND SUMMARY
  • Chapter 5: The Property Pattern in Financial Engineering
    • 5.2 THE PROPERTY PATTERN
    • 5.3 AN EXAMPLE
    • 5.4 EXTENDING THE PROPERTY PATTERN: PROPERTY SETS AND PROPERTY LISTS
    • 5.5 PROPERTIES AND EXOTIC OPTIONS
    • 5.6 CONCLUSIONS AND SUMMARY
• Part II: Building Block Classes
  • Chapter 6: Arrays, Vectors and Matrices
    • 6.2 MOTIVATION AND BACKGROUND
    • 6.3 A LAYERED APPROACH
    • 6.4 THE ARRAY AND MATRIX CLASSES IN DETAIL
    • 6.5 THE VECTOR AND NUMERICMATRIX CLASSES IN DETAIL
    • 6.6 ASSOCIATIVE ARRAYS AND MATRICES
    • 6.7 CONCLUSIONS AND SUMMARY
  • Chapter 7: Arrays and Matrix Properties
    • 7.2 AN OVERVIEW OF THE FUNCTIONALITY
    • 7.3 SOFTWARE REQUIREMENTS
    • 7.4 THE CORE PROCESSES
    • 7.5 OTHER FUNCTION CATEGORIES
    • 7.6 USING THE FUNCTIONS
    • 7.7 AN INTRODUCTION TO EXCEPTION HANDLING
    • 7.8 CONCLUSIONS AND SUMMARY
  • Chapter 8: Numerical Linear Algebra
    • 8.2 AN INTRODUCTION TO NUMERICAL LINEAR ALGEBRA
    • 8.3 TRIDIAGONAL SYSTEMS
    • 8.4 BLOCK TRIDIAGONAL SYSTEMS
    • 8.5 WHAT REQUIREMENTS SHOULD OUR MATRIX SATISFY?
    • 8.6 CONCLUSIONS AND SUMMARY
  • Chapter 9: Modelling Functions in C++
    • 9.2 FUNCTION POINTERS IN C++
    • 9.3 FUNCTION OBJECTS IN STL
    • 9.4 SOME FUNCTION TYPES
    • 9.5 CREATING YOUR OWN FUNCTION CLASSES
    • 9.6 ARRAYS OF FUNCTIONS
    • 9.7 VECTOR FUNCTIONS
    • 9.8 REAL-VALUED FUNCTIONS
    • 9.9 VECTOR-VALUED FUNCTIONS
    • 9.10 CONCLUSIONS AND SUMMARY
  • Chapter 10: C++ Classes for Statistical Distributions
    • 10.2 DISCRETE AND CONTINUOUS PROBABILITY DISTRIBUTION FUNCTIONS
    • 10.3 CONTINUOUS DISTRIBUTIONS
    • 10.4 DISCRETE DISTRIBUTIONS
    • 10.5 TESTS
    • 10.6 CONCLUSIONS AND SUMMARY
• Part III: Ordinary and Stochastic Differential Equations
  • Chapter 11: Numerical Solution of Initial Value Problems: Fundamentals
    • 11.2 A MODEL PROBLEM
    • 11.3 DISCRETISATION
    • 11.4 COMMON SCHEMES
    • 11.5 SOME THEORETICAL ISSUES
    • 11.6 FITTING: SPECIAL SCHEMES FOR DIFFICULT PROBLEMS
    • 11.7 NON-LINEAR SCALAR PROBLEMS AND PREDICTOR–CORRECTOR METHODS
    • 11.8 EXTRAPOLATION TECHNIQUES
    • 11.9 C++ DESIGN AND IMPLEMENTATION
    • 11.10 GENERALISATIONS
    • 11.11 CONCLUSIONS AND SUMMARY
  • Chapter 12: Stochastic Processes and Stochastic Differential Equations
    • 12.2 RANDOM VARIABLES AND RANDOM PROCESSES
    • 12.3 AN INTRODUCTION TO STOCHASTIC DIFFERENTIAL EQUATIONS
    • 12.4 SOME FINITE DIFFERENCE SCHEMES
    • 12.5 WHICH SCHEME TO USE?
    • 12.6 SYSTEMS OF SDEs
    • 12.7 CONCLUSIONS AND SUMMARY
  • Chapter 13: Two-Point Boundary Value Problems
    • 13.2 DESCRIPTION OF PROBLEM
    • 13.3 (TRADITIONAL) CENTRED-DIFFERENCE SCHEMES
    • 13.4 APPROXIMATION OF THE BOUNDARY CONDITIONS
    • 13.5 EXPONENTIALLY FITTED SCHEMES AND CONVECTION–DIFFUSION
    • 13.6 APPROXIMATING THE DERIVATIVES
    • 13.7 DESIGN ISSUES
    • 13.8 CONCLUSIONS AND SUMMARY
  • Chapter 14: Matrix Iterative Methods
    • 14.2 ITERATIVE METHODS
    • 14.3 THE JACOBI METHOD
    • 14.4 GAUSS-SEIDEL METHOD
    • 14.5 SUCCESSIVE OVERRELAXATION (SOR)
    • 14.6 OTHER METHODS
    • 14.7 THE LINEAR COMPLEMENTARITY PROBLEM
    • 14.8 IMPLEMENTATION
    • 14.9 CONCLUSIONS AND SUMMARY
• Part IV: Programming the Black – Scholes Environment
  • Chapter 15: An Overview of Computational Finance
    • 15.2 THE DEVELOPMENT LIFE CYCLE
    • 15.3 PARTIAL DIFFERENTIAL EQUATIONS
    • 15.4 NUMERICAL APPROXIMATION OF PDEs
    • 15.5 THE CLASS OF FINITE DIFFERENCE SCHEMES
    • 15.6 SPECIAL SCHEMES FOR SPECIAL PROBLEMS
    • 15.7 IMPLEMENTATION ISSUES AND THE CHOICE OF PROGRAMMING LANGUAGE
    • 15.8 ORIGINS AND APPLICATION AREAS
    • 15.9 CONCLUSIONS AND SUMMARY
  • Chapter 16: Finite Difference Schemes for Black – Scholes
    • 16.2 MODEL PROBLEM: THE ONE-DIMENSIONAL HEAT EQUATION
    • 16.3 THE BLACK-SCHOLES EQUATION
    • 16.4 INITIAL CONDITIONS AND EXOTIC OPTIONS PAYOFFS
    • 16.5 IMPLEMENTATION
    • 16.6 METHOD OF LINES: A WHIRLWIND INTRODUCTION
    • 16.7 CONCLUSIONS AND SUMMARY
  • Chapter 17: Implicit Finite Difference Schemes for Black – Scholes
    • 17.2 FULLY IMPLICIT METHOD
    • 17.3 AN INTRODUCTION TO THE CRANK–NICOLSON METHOD
    • 17.4 A CRITIQUE OF CRANK–NICOLSON
    • 17.5 IS THERE HOPE? THE KELLER SCHEME
    • 17.6 CONCLUSIONS AND SUMMARY
  • Chapter 18: Special Schemes for Plain and Exotic Options
    • 18.2 MOTIVATING EXPONENTIALLY FITTED SCHEMES
    • 18.3 EXPONENTIALLY FITTED SCHEMES FOR PARABOLIC PROBLEMS
    • 18.4 WHAT HAPPENS WHEN THE VOLATILITY GOES TO ZERO?
    • 18.5 EXPONENTIAL FITTING WITH EXPLICIT TIME
    • 18.6 EXPONENTIAL FITTING AND EXOTIC OPTIONS
    • 18.7 SOME FINAL REMARKS
  • Chapter 19: My First Finite Difference Solver
    • 19.2 MODELLING PARTIAL DIFFERENTIAL EQUATIONS IN C++
    • 19.3 FINITE DIFFERENCE SCHEMES AS C++ CLASSES, PART I
    • 19.4 FINITE DIFFERENCE SCHEMES AS C++ CLASSES, PART II
    • 19.5 INITIALISATION ISSUES
    • 19.6 INTERFACING WITH EXCEL
    • 19.7 CONCLUSIONS AND SUMMARY
  • Chapter 20: An Introduction to ADI and Splitting Schemes
    • 20.2 A MODEL PROBLEM
    • 20.3 MOTIVATION AND HISTORY
    • 20.4 BASIC ADI SCHEME FOR THE HEAT EQUATION
    • 20.5 BASIC SPLITTING SCHEME FOR THE HEAT EQUATION
    • 20.6 APPROXIMATING CROSS-DERIVATIVES
    • 20.7 HANDLING BOUNDARY CONDITIONS
    • 20.8 ALGORITHMS AND DESIGN ISSUES
    • 20.9 CONCLUSIONS AND SUMMARY
  • Chapter 21: Numerical Approximation of Two-Factor Derivative Models
    • 21.2 TWO-FACTOR MODELS IN FINANCIAL ENGINEERING
    • 21.3 FINITE DIFFERENCE APPROXIMATIONS
    • 21.4 ADI SCHEMES FOR ASIAN OPTIONS
    • 21.5 SPLITTING SCHEMES
    • 21.6 CONCLUSIONS AND SUMMARY
• Part V: Design Patterns
  • Chapter 22: A C++ Application for Displaying Numeric Data
    • 22.2 INPUT MECHANISMS
    • 22.3 CONVERSION AND PROCESSING MECHANISMS
    • 22.4 OUTPUT AND DISPLAY MECHANISMS
    • 22.5 PUTTING IT ALL TOGETHER
    • 22.6 OUTPUT
    • 22.7 OTHER FUNCTIONALITY
    • 22.8 USING EXCEL AND PROPERTY SETS
    • 22.9 EXTENSIONS AND THE ROAD TO DESIGN PATTERNS
    • 22.10 CONCLUSIONS AND SUMMARY
  • Chapter 23: Object Creational Patterns
    • 23.2 THE SINGLETON PATTERN
    • 23.3 THE PROTOTYPE PATTERN
    • 23.4 FACTORY METHOD PATTERN (VIRTUAL CONSTRUCTOR)
    • 23.5 ABSTRACT FACTORY PATTERN
    • 23.6 APPLICATIONS TO FINANCIAL ENGINEERING
    • 23.7 CONCLUSIONS AND SUMMARY
  • Chapter 24: Object Structural Patterns
    • 24.2 KINDS OF STRUCTURAL RELATIONSHIPS BETWEEN CLASSES
    • 24.3 WHOLE-PART PATTERN
    • 24.4 THE COMPOSITE PATTERN
    • 24.5 THE FACADE PATTERN
    • 24.6 THE BRIDGE PATTERN
    • 24.7 CONCLUSIONS AND SUMMARY
  • Chapter 25: Object Behavioural Patterns
    • 25.2 KINDS OF BEHAVIOURAL PATTERNS
    • 25.3 ITERATOR PATTERN
    • 25.4 THE VISITOR PATTERN
    • 25.5 NOTIFICATION PATTERNS
    • 25.6 CONCLUSIONS AND SUMMARY
• Part VI: Design and Deployment Issues
  • Chapter 26: An Introduction to the Extensible Markup Language
    • 26.2 A SHORT HISTORY OF XML
    • 26.3 THE XML STRUCTURE
    • 26.4 DOCUMENT TYPE DEFINITION
    • 26.5 EXTENSIBLE STYLESHEET LANGUAGE TRANSFORMATION (XSLT)
    • 26.6 AN APPLICATION OF XML: FINANCIAL PRODUCTS MARKUP LANGUAGE
    • 26.7 CONCLUSIONS AND SUMMARY
  • Chapter 27: Advanced XML and Programming Interface
    • 27.2 XML SCHEMA
    • 27.3 ACCESSING XML DATA: THE DOCUMENT OBJECT MODEL
    • 27.4 DOM AND C++: THE ESSENTIALS
    • 27.5 DOM, ENTITIES AND PROPERTY SETS
    • 27.6 XML STRUCTURES FOR PLAIN AND BARRIER OPTIONS
    • 27.7 CONCLUSIONS AND SUMMARY
  • Chapter 28: Interfacing C++ and Excel
    • 28.2 OBJECT MODEL IN EXCEL: AN OVERVIEW
    • 28.3 UNDER THE BONNET: TECHNICAL DETAILS OF C++ INTERFACING TO EXCEL
    • 28.4 IMPLEMENTING THE CORE PROCESS
    • 28.5 EXTENSIONS
    • 28.6 APPLICATION AREAS
    • 28.7 CONCLUSIONS AND SUMMARY
  • Chapter 29: Advanced Excel Interfacing
    • 29.2 STATUS REPORT AND NEW REQUIREMENTS
    • 29.3 A GENTLE INTRODUCTION TO EXCEL ADD-INS
    • 29.4 AUTOMATION ADD-IN IN DETAIL
    • 29.5 CREATING A COM ADD-IN
    • 29.6 FUTURE TRENDS
    • 29.7 CONCLUSIONS AND SUMMARY
  • Chapter 30: An Extended Application: Option Strategies and Portfolios
    • 30.2 SPREADS
    • 30.3 COMBINATIONS: STRADDLES AND STRANGLES
    • 30.4 DESIGNING AND IMPLEMENTING SPREADS
    • 30.5 DELTA HEDGING
    • 30.6 AN EXAMPLE
    • 30.7 TIPS AND GUIDELINES
• Appendix I: My C++ Refresher
  • A1.2 WHAT IS C++ AND WHY IS IT IMPORTANT?
  • A1.3 THE DATASIM C++ SELF-TEST
  • A1.4 THE ESSENTIALS OF A C++ CLASS: THE CANONICAL HEADER FILE
  • A1.5 AN OVERVIEW OF OBJECT-ORIENTED PROGRAMMING IN C++
  • A1.6 THE EUROPEAN OPTION IN C++: THE DETAILS
• Appendix II: Dates and Other Temporal Types
  • A2.2 THE DATE CLASS
  • A2.3 THE TIME CLASS
  • A2.4 EXTENSIONS
  • A2.5 A SIMPLE EXAMPLE
• References
• Index
  • Index_B
  • Index_C
  • Index_D
  • Index_E
  • Index_F
  • Index_G
  • Index_H
  • Index_I
  • Index_J
  • Index_K
  • Index_L
  • Index_M
  • Index_N
  • Index_O
  • Index_P
  • Index_Q
  • Index_R
  • Index_S
  • Index_T
  • Index_U
  • Index_V
  • Index_W
  • Index_X
  • Index_Y
  • Index_Z
• List of Figures
• CD Content