Quantitative finance. An object-oriented approach in C++. (English) Zbl 1296.91003

Schlögl, Erik

Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-58488-479-8/hbk). xv, 338 p. (2014).

Publisher’s description: This book 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 to 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.
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.

MSC:

91-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91-04	Software, source code, etc. for problems pertaining to game theory, economics, and finance
91-08	Computational methods for problems pertaining to game theory, economics, and finance
91Gxx	Actuarial science and mathematical finance
91G60	Numerical methods (including Monte Carlo methods)

Software:

QFcode; Excel