
- 388 pages
- English
- PDF
- Available on iOS & Android
C++ for Financial Mathematics
About this book
If you know a little bit about financial mathematics but don't yet know a lot about programming, then C++ for Financial Mathematics is for you.
C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples.
As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures.
The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master's level course.
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Information
Table of contents
- Cover
- Half Title
- Title Page
- Copyright Page
- Contents
- Introduction
- 1 Getting Started
- 2 Basic Data Types and Operators
- 3 Functions
- 4 Flow of Control
- 5 Working with Multiple Files
- 6 Unit Testing
- 7 Using C++ Classes
- 8 User-Defined Types
- 9 Monte Carlo Pricing in C++
- 10 Interfaces
- 11 Arrays, Strings, and Pointers
- 12 More Sophisticated Classes
- 13 The Portfolio Class
- 14 Delta Hedging
- 15 Debugging and Development Tools
- 16 A Matrix Class
- 17 An Overview of Templates
- 18 The Standard Template Library
- 19 Function Objects and Lambda Functions
- 20 Threads
- 21 Next Steps
- A Risk-Neutral Pricing
- Bibliography
- Index