Modeling Derivatives In C++ (2005), Hacking i komputery, Programowanie, C, C++, neuvaCbrer
[ Pobierz całość w formacie PDF ]
Modeling Derivatives
in C++
Founded in 1807, John Wiley & Sons is the oldest independent publishing company
in the United States. With offices in North America, Europe, Australia, and Asia,
Wiley is globally committed to developing and marketing print and electronic prod-
ucts and services for our customers’ professional and personal knowledge and un-
derstanding.
The Wiley Finance series contains books written specifically for finance and in-
vestment professionals, sophisticated individual investors and their financial advi-
sors, and senior business executives. Book topics range from portfolio management
to e-commerce, risk management, financial engineering, valuation, financial instru-
ment analysis, and pricing strategy, as well as much more.
For a list of available titles, visit our web site at www.WileyFinance.com.
Modeling Derivatives
JUSTIN LONDON
John Wiley & Sons, Inc.
in C++
Copyright © 2005 by Justin London. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
Computer code in Appendix E on the CD-ROM is from
Numerical Recipes in C
by William H. Press,
Brian P. Flannery, Saul Teukolsky, and Wiliam Vetterling. Copyright © 1988–2003 Numerical Recipes
Software. Reproduced with permission.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form
or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as
permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior
written permission of the Publisher, or authorization through payment of the appropriate per-copy fee
to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400,
fax 978-646-8600, or on the web at
Requests to the Publisher for permission
should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street,
Hoboken, NJ 07030, 201-748-6011, fax 201-748-6008.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts
in preparing this book, they make no representations or warranties with respect to the accuracy or
completeness of the contents of this book and specifically disclaim any implied warranties of
merchantability or fitness for a particular purpose. No warranty may be created or extended by sales
representatives or written sales materials. The advice and strategies contained herein may not be
suitable for your situation. You should consult with a professional where appropriate. Neither the
publisher nor author shall be liable for any loss of profit or any other commercial damages, including
but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services, or technical support, please contact our
Customer Care Department within the United States at 800-762-2974, outside the United States at
317-572-3993 or fax 317-572-4002.
Designations used by companies to distinguish their products are often claimed as trademarks. In all
instances where John Wiley & Sons, Inc., is aware of a claim, the product names appear in initial
capital or all capital letters. Readers, however, should contact the appropriate companies for more
complete information regarding trademarks and registration.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print
may not be available in electronic books.
For more information about Wiley products, visit our web site at
Library of Congress Cataloging-in-Publication Data
London, Justin, 1973–
Modeling derivatives in C++ / Justin London.
p. cm.—(Wiley finance series)
Includes index.
ISBN 0-471-65464-7 (cloth)
1. Derivative securities—Data processing. 2. C++ (Computer program language)
I. Title. II. Series.
HG6024.A3L66 2004
332.64'57'01135262—dc22
2004042045
Printed in the United States of America.
10987654321
[ Pobierz całość w formacie PDF ]