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- Title Financial Numerical Recipes in C++: Applications in Finance
- Author(s) Bernt Arne Odegaard
- Publisher: Norwegian School of Management (June, 2014)
- Hardcover 264 pages
- eBook PDF (265 pages, 1.1 MB)
- Language: English
- ISBN-10: N/A
- ISBN-13: N/A
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In finance, there are areas where formulas tend to get involved. Sometimes it may be easier to follow an exact computer routine. The author has 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.
All the routines have been made to confirm to the new ISO/ANSI C++ standard, using such concepts as namespaces and the standard template library. The latest C++ standard introduced a few useful simplifications, which is incorporated in places.
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.
This book is a a discussion of the calculation of specific formulas in finance. The field of finance has seen a rapid development in recent years, with increasing mathematical sophistication.
About the Authors- Bernt Arne Odegaard is a Professor at the University of Stavanger, in Stavanger, Norway.
- Numerical Analysis and Computation
- Financial Engineering and Financial Mathematics
- The C++ Programming Language
- The C and Objective C Programming

- Financial Numerical Recipes in C++: Applications in Finance (Bernt Arne Odegaard)
- The Mirror Site (1) - PDF
- The Mirror Site (2) - PDF
- More C++ Source Code for the Book
- Numerical Methods for Finance (Robert Nurnberg)
- Financial Applications using Excel Add-in in C/C++ (Steve Dalton)
- Numerical Recipes in C: The Art of Scientific Computing
- Numerical Recipes in Fortran 90: Art of Parallel Scientific Computing
- Numerical Recipes in Fortran 77: The Art of Scientific Computing
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