目次

A Brief Review of the C++ Programming Language Getting started Procedural programming in C++ Object-oriented features of C++ Templates Exceptions Namespaces Basic Building Blocks The Standard Template Library (STL) The Boost Libraries Numerical arrays Numerical integration Optimisation and root search The term structure of interest rates Lattice Models for Option Pricing Basic concepts of pricing by arbitrage Hedging and arbitrage–free pricing Defining a general lattice model interface Implementing binomial lattice models Models for the term structure of interest rates The Black/Scholes World Martingales Option pricing in continuous time Exotic options with closed form solutions Implementation of closed form solutionsAmerican options Finite Difference Methods The object-oriented interfaceThe explicit finite difference method The implicit finite difference method The Crank/Nicolson scheme Implied Volatility and Volatility Smiles Calculating implied distributions Constructing an implied volatility surface Stochastic volatility Monte Carlo Simulation Background The generic Monte Carlo algorithm Simulating asset price processes Discretising stochastic differential equations Predictor-corrector methods Variance reduction techniquesPricing instruments with early exercise features Quasi-random Monte Carlo The Heath/Jarrow/Morton Model The model framework Gauss/Markov HJM Option pricing in the Gaussian HJM framework Adding a foreign currency Implementing closed-form solutions Monte Carlo simulation in the HJM framework Implementing Monte Carlo simulation Appendix A: Interfacing between C++ and Microsoft Excel Appendix B: Automatic Generation of Documentation Using Doxygen References Index