C++ for Financial Mathematics

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you.

C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples.

As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures.

The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.

Table of Contents

Chapter 1 Getting Started
Chapter 2 Basic Data Types and Operators
Chapter 3 Functions
Chapter 4 Flow of Control
Chapter 5 Working with Multiple Files
Chapter 6 Unit Testing
Chapter 7 Using C++ Classes
Chapter 8 User-Defined Types
Chapter 9 Monte Carlo Pricing in C++
Chapter 10 Interfaces
Chapter 11 Arrays, Strings, and Pointers
Chapter 12 More Sophisticated Classes
Chapter 13 The Portfolio Class
Chapter 14 Delta Hedging
Chapter 15 Debugging and Development Tools
Chapter 16 A Matrix Class
Chapter 17 An Overview of Templates
Chapter 18 The Standard Template Library
Chapter 19 Function Objects and Lambda Functions
Chapter 20 Threads
Chapter 21 Next Steps