Quantitative Finance: An Object-Oriented Approach in C++ provides
readers with a foundation in the key methods and models of
quantitative finance. Keeping the material as self-contained 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, hands-on
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 ResourceThe 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.
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