next up previous contents index
Next: Contents   Contents   Index

Financial Numerical Recipes.

Bernt Arne Ødegaard

Abstract:

This is a discussion of algorithms and computer code for advanced financial calculations. It was written for use in a course teaching derivative securities. It contains the basic and some advanced algorithms for option pricing, and some algorithms dealing with term structure modeling and pricing of fixed income securities.

All computer code is in the C++ language, and implemented as self-contained subroutines that can be compiled on any standard C++ compiler.




next up previous contents index
Next: Contents   Contents   Index
Bernt Arne Odegaard
1999-09-09