文件名称：Modeling Derivatives in C++
文件大小：9.87MB
文件格式：PDF
更新时间：2018-03-02 03:59:20
C++ Derivatives Model
This is perhaps one of the best books written in the field of quantitative finance, especially for implementing models especially using C++. It is equivalent to Numerical Recipes in C but for derivative models. It is one of the most comprehensive and details books I've seen at roughly 900 pages. It shows not only the mathematical derivations for all the major fixed income and equity models, but provides all the actual code (there is enough code to run an entire quant engine especially on the CD) and implementations for many complex models like HJM and BGM. It is the most comprehensive and detailed book I've seen in prereleased versions and will be invaluable and a must reference for any quant.