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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 7

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Linear Algebra

Linear algebra is a fundamental set of mathematical tools that has applications in many areas of science and engineering. Consequently, linear algebra (LA) techniques also play an important role in the practice of financial programming, and they are frequently used throughout the area of financial engineering. LA techniques are frequently used in the development of trading strategies.

As C++ programmers, it is important to understand how the traditional methods of linear algebra can be integrated in financial applications. With this goal in mind, I present a few recipes that show how to use some of the most common LA ...

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