Book description
Quantitative Finance: An ObjectOriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as selfcontained as possible, the author introduces computational finance with a focus on practical implementation in C++.
Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, handson understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field.
The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing.
Web Resource
The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.
Table of contents
 Preliminaries
 Dedication
 Preface
 Acknowledgements
 Chapter 1 A brief review of the C++ programming language
 Chapter 2 Basic building blocks
 Chapter 3 Lattice models for option pricing
 Chapter 4 The Black/Scholes world
 Chapter 5 Finite difference methods for partial differential equations
 Chapter 6 Implied volatility and volatility smiles

Chapter 7 Monte Carlo simulation
 7.1 Background
 7.2 The generic Monte Carlo algorithm
 7.3 Simulating asset price processes following geometric Brownian motion
 7.4 Discretising stochastic differential equations
 7.5 Predictor–Corrector methods
 7.6 Variance reduction techniques
 7.7 Pricing instruments with early exercise features
 7.8 Quasirandom Monte Carlo

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 Chapter 8 The Heath/Jarrow/Morton model
 Appendix A Interfacing between C++ and Microsoft Excel
 Appendix B Automatic generation of documentation using Doxygen
 References
Product information
 Title: Quantitative Finance
 Author(s):
 Release date: November 2013
 Publisher(s): CRC Press
 ISBN: 9781439897959
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