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Collector
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Posts: 3918
Joined: August 21st, 2001, 12:37 pm

Financial Instrument Pricing Using C++

November 6th, 2018, 10:26 pm

I am reading this massive book now Financial Instrument Pricing Using C++

1148 pages looong....stuffed with C++ code and tricks on derivatives, MC, PDE's  and much more...well the last 6 pages are blank (good place to take own notes) so the book is actually only 1142 pages.

well the second edition seems like a massive extension of the first edition. First edition was only 432 pages or so...

Congratulations with the hard work! 

(current amazon price 7.5 cents per page!)
 
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Cuchulainn
Posts: 57040
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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Re: Financial Instrument Pricing Using C++

November 8th, 2018, 3:09 pm

I have found Collector's biggish (well 536 pages and no blank pages) as invaluable sparring partner as it were. Many results were checked against his tables.

Tusen takk

Source code: contact the author.
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