Options and Derivatives Programming in C++23: Algorithms and Programming Techniques for the Financial Industry

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2023

C. OliveiraOptions and Derivatives Programming in C++23https://doi.org/10.1007/978-1-4842-9827-5_9

9. Linear Algebra Algorithms

Carlos Oliveira¹  

(1)

Seattle, WA, USA

 

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 ...