Introduction to C++ for Financial Engineers

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.

DANIEL J. DUFFY has been involved in software development projects using C++ and object-oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object-oriented system for derivatives’ pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.
A companion book to the current one is “Financial instrument pricing using C++” (Wiley 2004). Since 1996 he has written seven books on object-oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.
He can be contacted at dduffy@datasim.nl

Part I C++ Essential Skills.

1 Introduction to C++ and Quantitative Finance.

2 The Mechanics of C++: from Source Code to a Running Program.

3 C++ Fundamentals and My First Option Class.

4 Creating Robust Classes.

5 Operator Overloading in C++.

6 Memory Management in C++.

7 Functions, Namespaces and Introduction to Inheritance.

8 Advanced Inheritance and Payoff Class Hierarchies.

9 Run-Time Behaviour in C++.

10 An Introduction to C++ Templates.

Part II Data Structures, Templates and Patterns.

11 Introduction to Generic Data Structures and Standard Template Library (STL).

12 Creating Simpler Interfaces to STL for QF Applications .

13 Data Structures for Financial Engineering Applications.

14 An Introduction to Design Patterns.

Part III QF Applications.

15 Programming the Binomial Method in C++.

16 Implementing One-Factor Black Scholes in C++: Finite Differences.

17 Two-Factor Option Pricing: Basket and Other multi-Asset Options.

18 Useful C++ Classes for Numerical Analysis Applications in Finance.

19 The Monte Carlo Method: Theory (with Dr. Joerg Kienitz).

20 C++ Frameworks and Monte Carlo (with Dr. Joerg Kienitz).

21 Student Projects: Lattice Methods, Volatility Surfaces and Skills Consolidation.

Part IV Background Information.

22 Basic C Survival Guide.

23 Advanced C Syntax.

24 Datasim Visualisation Package in Excel: Drivers and Mechanisms.

25 Motivating COM and Emulation in C++.

26 COM Fundamentals.

Index.

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

FREE SHIPPING

Amazon no longer offers textbook rentals. We do!

Introduction to C++ for Financial Engineers An Object-Oriented Approach

Summary

Author Biography

Table of Contents

Supplemental Materials