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详细说明： 金融衍生C++建模 Derivative modeling is at the heart of quantitative research and development on Wall Street. Practitioners (i.e., Wall Street trading desk quants) and academics alike spend much research, money, and time developing efficient models for pricing, hedging, and trading equity and fixed income derivatives. Many of these models involve complicated algorithms and numerical methods that require lots of computational power. For instance, the HJM lattice for pricing fixed income derivatives often requires coding a nonrecombinin g bushy tree that cannot be easily traversed and grows exponential in time and memory. C++ is often the programming language of choice for implementing these models due to the language’s object-oriented features, speed, and reusability. However, often the implementation “how-to” of these models is quite esoteric to the model creators and developers due to their algorithmic complexity. Most journal articles and white papers that discuss derivative models provide only a theoretical understanding of them as well as their mathematical derivations. While many research papers provide numerical results, few supply the details for how to implement the model, if for no other reason than to allow readers to replicate and validate their results. There are several reasons for this. ...展开收缩
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