Publishers Description
Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives.
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Keywords
Bermudan and Exotic
binomial
black scholes
Interest Rate Derviatives
Libor Market Models
monte carlo
Stochastic Volatility
trinomial
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