Introduction to C++ for Financial Engineers: An Object-Oriented Approach
| Date: 06 May 2011, 20:30
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Note: CD-ROM is not included.
The goal of this book is to introduce the reader to the C++ programming language and its applications to the field of Quantitative Finance. It is a self-contained introduction to the syntax of C++ in combination with its applications to current topics of interest. In particular, we develop libraries, frameworks and applications for a variety of derivatives models using numerical methods such as binomial and trinomial trees, finite difference methods (FDM) and the Monte Carlo (MC) method.
The book consists of three major parts. The first part concentrates on essential C++ syntax that must be learned before proceeding. The second part introduces generic programming and design pattern techniques and we show how to create libraries and data structures that we use in part three that deals with full applications. We also have written a number of chapters on topics related to the current book, for example a review of the C language, interfacing with Excel and an introduction to the Component Object Model (COM).
We have written this book for quantitative analysts, designers and other professionals who are involved in developing front office and trading systems. The book is structured in such a way that both novice and experienced developers can use it to write applications in Quantitative Finance. The book is also suitable for university students in finance, mathematics and other disciplines where C++ is used as the language for computation.
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This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required. - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:
* C++ fundamentals and object-oriented thinking in QF
* Advanced object-oriented features such as inheritance and polymorphism
* Template programming and the Standard Template Library (STL)
* An introduction to GOF design patterns and their applications in QF Applications
The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.
This book contains a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.
This book is the perfect companion to Daniel J. Duffy's book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Table of Contents:
Chapter 01 - Introduction to C++ and Quantitative Finance
Chapter 02 - The Mechanics of C++
Chapter 03 - C++ Fundamentals and My First Option Class
Chapter 04 - Creating Robust Classes
Chapter 05 - Operator Overloading in C++
Chapter 06 - Memory Management in C++
Chapter 07 - Functions, Namespaces and Introduction to Inheritance
Chapter 08 - Advanced Inheritance and Payoff Class Hierarchies
Chapter 09 - Run-Time Behaviour in C++
Chapter 10 - An Introduction to C++ Templates
Chapter 11 - Introduction to Generic Data Structures and Standard Template Library (STL)
Chapter 12 - Creating Simpler Interfaces to STL for QF Applications
Chapter 13 - Data Structures for Financial Engineering Applications
Chapter 14 - An Introduction to Design Patterns
Chapter 15 - Programming the Binomial Method in C++
Chapter 16 - Implementing One-Factor Black Scholes in C++
Chapter 17 - Two-Factor Option Pricing
Chapter 18 - Useful C++ Classes for Numerical Analysis Applications in Finance
Chapter 19 - Other Numerical Methods in Quantitative Finance
Chapter 20 - The Monte Carlo Met
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