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Financial Instrument Pricing Using C++ (The Wiley Finance Series)

Format: Hardcover
Author: Daniel J. Duffy
ReleaseDate: 27 August, 2004
Publisher: John Wiley & Sons
Rating:

very good book.
Since this book dealt with FDM, which are either cubbersome or difficult to program say american options, better is to deal with FE methods. implementation and design of classes wise this book is replete with ideas.

One of the good book about automating Excel with c++ out there
Reader should have background in c++ first, or go get some c++ begining book. This book is good for those who want to automate c++, although you dont have background in financial. My intension is to write a DLL for scheduling/simulation in construction management feild which has nothing to do with finance. I am satisfied with this book and hopefully to those who bought it. If you are deciding whether to buy this one or EXCEL add-on something (cannt remember but i own it too). I would suggest you to go for this one first. If you use c#, there are a book for c# specifically. However, if you just need to throw a set of numbers in Excel and run a macro inside the Excel, maybe you should consider other options, such as Visual Basic and Excel component in VB. Please check execute Excel Macro from outside Excel. .

Computational Finance made efficient
The book requires only a first-course level knowledge of C++ (at the level of for example Ivor Horton's Beginning C++) and a first course level knowledge of Financial Mathematics (at the level of for example John Hull's masterpiece) and takes the reader on an entertaining journey through the basics of the STL and the applications of STL constructs to computational-financial and numerical-analytic problems, especially those relating to the numerical solution of partial differential equations. This book encapsulates all that is wonderful about OOP and shows how generic programming techniques (based on the STL) can be effectively applied to financial engineering and numerical analytic problems. Also, the author makes a persuasive case for finite-difference methods and deals with a few subtleties of the Crank-Nicholson algorithm. For best results, it should be read along with a decent book on the Standard Library (for example the one by Nicolai Josuttis). Overall, it's a pleasure to read and learn from, on a par with Mark Joshi's little design-patterns volume, and more detailed!.