Title: Financial Numerical Recipes in C++
Author: Bernt Arne Ødegaard
Date Published: April 2007
Description: 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 hoping to turn it into a book, but even in its incomplete state is should provide a good deal of useful algorithms for people working within the field of finance. The manuscript and codes will be added to as I get the time. All the code should conform to the current ANSI C++ standard.
Comments: This book is available under the GNU Public License.
Web Site: http://finance.bi.no/~bernt/gcc_prog/
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