Linear algebra (LA) 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 ...
