© Carlos Oliveira 2016

CARLOS OLIVEIRA, Options and Derivatives Programming in C++, 10.1007/978-1-4842-1814-3_9

9. Linear Algebra Algorithms

Carlos Oliveira

(1)Monmouth Junction, New Jersey, USA

Linear algebra techniques are used throughout the area of financial engineering, and in particular in the analysis of options and other financial derivatives. These techniques are used for example to calculate the value of large portfolios, or to quickly price derivative instruments. This chapter contains an overview of LA algorithms and their implementation in C++.

Linear algebra algorithms consist of simple operations on sets of values arranged as vectors or matrices. There is a rich mathematical theory behind the use of vectors and matrices. Although it ...

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