The models used include the structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++.
What You Will Learn:
- Solve complex pricing problems in financial derivatives using a structured approach with the Bento Box template.
- Explore some key numerical methods including binomial trees, finite differences, and Monte Carlo simulation.
- Develop your understanding of equity, forex, interest rate, and credit derivatives through concrete examples.
- Implement simple and complex derivative instruments in C++.
- Discover the most important mathematical models used in quantitative finance today to price derivative instruments.
- Effectively Incorporate object oriented programming (OOP) principles into the code.
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| Downloads: 9 | ||||
| Updated At: 2024-04-19 22:46:37 | ||||
| Publisher: Playstore Learning | ||||
| Operating System: Android | ||||
| License Type: Free |