Financial Numerical Recipes in C++: Applications in Finance

 In finance, there are areas where formulas tend to get involved. Sometimes it may be easier to follow an exact computer routine. I have made some C++ subroutines that implements common algoritms in finance. Typical examples are option/derivatives pricing, term structure calculations, mean variance analysis. These routines are presented together with a good deal of explanations and examples of use, but it is by no means a complete "book" with all the answers and explanations. I'm planning to turn it into a book, but even in its incomplete state is should provide a good deal of useful examples and algorithms for people working within the field of finance. The manuscript and codes will be added to as I get time. All the code should conform to the current ANSI C++ standard.

Title Financial Numerical Recipes in C++: Applications in Finance
Author(s) Bernt Arne Ødegaard
Publisher: Norwegian School of Management (2007)
Hardcover 262 pages
Language: English
eBook: http://finance.bi.no/~bernt/gcc_prog/recipes/recipes.pdf