Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers' professional and personal knowledge and understanding.
The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their financial advisors. Book topics range from portfolio management to e-commerce, risk management, financial engineering, valuation and financial instrument analysis, as well as much more.
For a list of available titles, visit our website at www.WileyFinance.com.
This edition first published 2018
© 2018 John Wiley & Sons, Ltd
Registered office
John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom
For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com.
All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher.
Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com.
Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. It is sold on the understanding that the publisher is not engaged in rendering professional services and neither the publisher nor the author shall be liable for damages arising herefrom. If professional advice or other expert assistance is required, the services of a competent professional should be sought.
Library of Congress Cataloging-in-Publication Data
Names: Duffy, Daniel J., author.
Title: Financial instrument pricing using C++ / Daniel J. Duffy.
Description: Second Edition. | Hoboken : Wiley, [2018] | Series: Wiley finance series |
Revised and updated edition of the author's Financial instrument pricing using C++,
c2004. | Includes bibliographical references and index. |
Identifiers: LCCN 2018017672 (print) | LCCN 2018019643 (ebook) |
ISBN 9781119170495 (Adobe PDF) | ISBN 9781119170488 (ePub) |
ISBN 9780470971192 (hardcover) | ISBN 9781119170495 (ePDF) | ISBN 9781119170518 (Obook)
Subjects: LCSH: Investments--Mathematical models. | Financial engineering. |
C++ (Computer program language)
Classification: LCC HG4515.2 (ebook) | LCC HG4515.2 .D85 2018 (print) |
DDC 332.60285/5133--dc23
LC record available at https://lccn.loc.gov/2018017672
A catalogue record for this book is available from the British Library.
ISBN 978-0-470-97119-2 (hardback) ISBN 978-1-119-17049-5 (ePDF)
ISBN 978-1-119-17048-8 (ePub) ISBN 978-1-119-17051-8 (Obook)