auto_ptr

source and sink

An auto_ptr is a pointer that serves as owner of the object to which it refers (if any). As a result,

an object gets destroyed automatically when its auto_ptr gets destroyed. A requirement of an

auto_ptr is that its object has only one owner.

Here is the previous example rewritten to use an auto_ptr:

//header file for auto_ptr

#include

void f()

{

//create and initialize an auto_ptr

std::auto_ptr ptr(new ClassA);

... //perform some operations

}

The delete statement and the catch clause are no longer necessary. An auto_ptr has much

the same interface as an ordinary pointer; that is, operator * dereferences the object to which it

points, whereas operator -> provides access to a member if the object is a class or a structure.

However, any pointer arithmetic (such as ++) is not defined (this might be an advantage, because

pointer arithmetic is a source of trouble).

Derivative modeling is at the heart of quantitative research and development on

Wall Street.

Many of these models involve complicated algorithms and numerical methods that require lots of computational power.

monte carlo simulation shortened from xxx s to xxx ms

CHAPTER 1

Black-Scholes and Pricing Fundamentals 1

1.1 Forward Contracts 1

1.2 Black-Scholes Partial Differential Equation 4

1.3 Risk-Neutral Pricing 10

1.4 Black-Scholes and Diffusion Process Implementation 17

1.5 American Options 30

1.6 Fundamental Pricing Formulas 33

1.7 Change of Numeraire 35

1.8 Girsanov’s Theorem 38

1.9 The Forward Measure 41

1.10 The Choice of Numeraire 42

Derivative: A security whose value is contingent on the value of an underlying security or

macroeconomic variable such as an interest rate or commodity like oil is known as

a derivative since the security “derives” its value and is contingent on the value of

the underlying asset.