Option Pricing with Black-Scholes Model & Monte-Carlo method in C++

The Black–Scholes or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment...

Black-Litterman Portfolio Optimization in C++

Different from the Mean-Variance method I used before, the Black-Litterman method allows investors to optimize their portfolio...

Limit Order book Mgmt System in C++ !

In modern financial markets, market makers (dealers) are agents who stand ready to buy and sell securities. Market makers are...

Implementing Mean Variance portfolio optimization method with C++

In the last post, I constructed the matrix computation class, which is the main tool that I gonna use in portfolio optimization. First,...

Build up you own Matrix Computation Lib in C++

Last week professor Namini posted a new C++ programming project task: to implement the Mean-Variance and Black-Litterman methods to...

Constructing Term Structure from yield Curve C++

We can obtain from yield curve the term structure using Bootstrap method. Let's see how we can do it. It is a nice and easy program. I...