**Bernt Arne Ødegaard**

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.

- Contents
- Introduction.
- Cash flow algoritms.
- Basic Option Pricing, analytical solutions.
- Binomial option pricing.
- Finite Differences
- Simulation
- Approximations
- Futures algoritms.
- Foreign Currency Algoritms
- Bond Algoritms.
- Exotic options.
- A general approach to option pricing by simulation.
- Alternatives to the Black Scholes type option formula.
- Mean Variance Analysis.
- Term Structure algorithms.
- Fixed Income modelling, with emphasis on contingent claims.
- Normal Distribution approximations.
- A note on C++ and the source code
- Acknowledgements.
- Index
- Bibliography