The object-oriented programming language C++ is the de facto
standard for developing real-life applications for Quantitative
Finance and Financial Engineering. This language was designed by
Dr. Bjarne Stroustup in the early 1990's and it has become one of
the most popular and robust languages for many important areas such
as medical systems, computer graphics, telecommunications and in
application areas where performance, accuracy and interoperability
issues play a key role. The general expectation is that its
importance will grow in the coming years.
C++ has also become the de facto standard for quant development
and analysis. Knowledge of C++ is mandatory for many openings and
job positions in Quantitative Finance. This book is the first book
that discusses many of the issues that you need to know in order to
be able to design and implement real-world applications. We focus
on a number of critical topics: Learning the essential syntax of
C++ ('getting the fundamentals right') Designing and implementing
generic data structures using STL Numerous applications (lattices,
finite difference, Monte Carlo, etc) Libraries, design patterns
(GOF, POSA) and reusable software frameworks Introduction to COM
and C++ to Excel interoperability
Each chapter deals with one major topic. Furthermore, each
chapter builds only on the results of the chapters preceding it, so
that we keep the amount of forward referencing to a minimum. We
discuss all the syntax that is discussed in the IT books and we
apply it to QF applications. This book is self-contained and we
advise its use in combination with the well-known standard
reference work by Dr. Stroustrup.
Last, but not least, each chapterconcludes with exercises and
projects to test what you learned in that chapter. The exercises
are based on the tactic: 'get it working, then get it right, then
get it optimised'. Furthermore, these exercises will also hopefully
prepare you for your job interviews!
Included with the book is a CD will full source code, including
"working code" for lattice, finite difference and Monte Carlo
methods for one-factor and two-factor pricing models as well as an
easy-to-use C++ visualization package to help you examine the
output from these numerical methods.
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