Financial Numerical Recipes in C ++.

Financial Numerical Recipes in C ++.

Bernt Arne Ødegaard

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• Contents
• On C++ and programming.
  • Compiling and linking
  • The structure of a C++ program
    • Types
    • Operations
    • Functions and libraries
    • Templates and libraries
    • Flow control
    • Input Output
    • Splitting up a program
    • Namespaces
  • Extending the language, the class concept.
    • date, an example class
  • Const references
  
  
• The value of time
  • Present value.
  • Internal rate of return.
    • Check for unique IRR
  • Bonds
    • Bond Price
    • Yield to maturity.
    • Duration.
      • Modified Duration
      • Bond convexity
  
  
• The term structure of interest rates and an object lesson
  • Term structure calculations
  • Using the currently observed term structure.
    • Linear Interpolation.
  • The term structure as an object
  • Implementing a term structure class
    • Base class
    • Flat term structure.
    • Interpolated term structure.
  • Bond calculations using the term structure class
  
  
• Futures algoritms.
  • Pricing of futures contract.
  
  
• Binomial option pricing
  • Multiperiod binomial pricing
  • Further reading
  • Problems
  
  
• Basic Option Pricing, the Black Scholes formula.
  • Setup
  • European call and put options, The Black Scholes analysis.
    • Analytical option prices, Black Scholes case.
    • Proving the Black Scholes formulas correctness
    • Partial derivatives.
    • Implied Volatility.
  
  
• Warrants
  • Warrant value in terms of assets
  • Valuing warrants when observing the stock value
  • Readings
  
  
• Extending the Black Scholes formula
  • Adjusting for payouts of the underlying.
    • Continous Payouts from underlying.
    • Dividends.
      • European Options on dividend-paying stock.
  • American options.
    • Exact american call formula when stock is paying one dividend.
  • Options on futures
    • Black's model
  • Foreign Currency Options
  • Perpetual puts and calls
  • Readings
  • Problems
  
  
• Option pricing with binomial approximations
  • Introduction
  • Pricing of options in the Black Scholes setting
    • European Options
    • American Options
    • Estimating partials.
  • Adjusting for payouts for the underlying
  • Pricing options on stocks paying dividends using a binomial approximation
    • Checking for early exercise in the binomial model.
    • Proportional dividends.
    • Discrete dividends
  • Option on futures
  • Foreign Currency options
  • References
  
  
• Finite Differences
  • European Options.
  • American Options.
  
  
• Option pricing by simulation
  • Simulating lognormally distributed random variables
  • Pricing of European Call options
  • Hedge parameters
  • More general payoffs. Function prototypes
  • Improving the efficiency in simulation
    • Control variates.
    • Antithetic variates.
    • Example
  • More exotic options
  • Exercises
  
  
• Approximations
  • A quadratic approximation to American prices due to Barone-Adesi and Whaley.
  
  
• Average, lookback and other exotic options
  • Bermudan options
  • Asian options
  • Lookback options
  • Monte Carlo Pricing of options whose payoff depend on the whole price path
    • Generating a series of lognormally distributed variables
  • Control variate
  
  
• Alternatives to the Black Scholes type option formula
  • Merton's Jump diffusion model.
  
  
• Using a library for matrix algebra
  • An example matrix class
  • Finite Differences
  • European Options
  • American Options
  
  
• Mean Variance Analysis.
  • Introduction.
  • Mean variance portfolios.
  • Short sales constraints
  
  
• Pricing of bond options, basic models
  • Binomial bond option pricing
  • Black Scholes bond option pricing
  
  
• Credit risk
  • The Merton Model
  
  
• Term Structure Models
  • The Nelson Siegel term structure approximation
  • Cubic spline.
  • Cox Ingersoll Ross.
  • Vasicek
  
  
• Binomial Term Structure models
  • The Rendleman and Bartter model
  • Readings
  
  
• Term Structure Derivatives
  • Vasicek bond option pricing
  
  
• Normal Distribution approximations.
  • The normal distribution function
  • The cumulative normal distribution
  • Multivariate normal
  • Calculating cumulative bivariate normal probabilities
  • Simulating random normal numbers
  • Cumulative probabilities for general multivariate distributions
  • References
  • Exercises
  
  
• C++ concepts
• Installation
  • Source availability
  
  
• Acknowledgements.
• Index
• Bibliography

출처 : http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/