Mastering Quantitative Finance with Modern C++ : Foundations, Derivatives, and Computational Methods

De la Rosa, Aaron

APress（2025/11発売）

• 製本 Paperback:紙装版/ペーパーバック版
• 言語 ENG
• 商品コード 9798868817922

Full Description

Learn to build robust, scalable financial models to position yourself as an expert in computational finance. At a time when the financial industry demands increasingly complex and accurate mode, this book ensures you stay ahead of the curve by leveraging the latest advancements in programming to develop faster, more reliable, and maintainable financial software.

Begin with a solid introduction to modern C++ and its relevance to engineering. From there, you will discover the heart of financial modelling, starting with Black-Scholes fundamentals and progressing through critical topics such as Monte Carlo simulations, binomial and trinomial trees, finite difference methods, and option Greeks. Practical implementation of Asian and exotic options will ensure you grasp real-world applications of these models. Then, you will prepare to tackle complex market dynamics with advanced topics, including stochastic volatility, implied volatility, and jump-diffusion models.

Additional topics include cutting-edge interest rate modelling techniques, such as the Hull-White tree, Vasicek, and Cox-Ingersoll-Ross models, as well as Bermudan and exotic interest rate derivatives—essential for fixed-income professionals. Real-world examples, combined with hands-on coding exercises, help illustrate the theory behind solving challenging problems in finance. Beyond theoretical discussions, Mastering Advanced Quantitative Finance with Modern C++ emphasizes numerical techniques, such as numerical linear algebra and random number generation, empowering readers to implement efficient computational solutions. 

What You Will Learn

Master Modern C++ for quantitative finance with C++23
Implement advanced financial derivative pricing models
Apply interest rate and stochastic volatility models
Leverage numerical methods for quantitative finance
Build scalable and high-performance quantities solutions

 Who This Book Is For

Financial professionals, quantitative analysts, software developers, and researchers aiming to enhance their quantitative finance skills using Modern C++. Readers should have basic to intermediate C++ knowledge, fundamental quantitative finance understanding, and a mathematical background in calculus, linear algebra, probability, and numerical methods.

Contents

1. Introduction to Modern C++23.- 2. Components of an Object-Oriented C++ Program.- 3. Option Payoff Hierarchies in C++.- 4. Generic Programming and Template Classes in C++.- 5. Introduction to the Standard Template Library (STL) in C++23.- 6. Function Objects in C++.- 7. Matrix Classes for Quantitative Finance.- 8. Numerical Linear Algebra in C++.- 9. Black Scholes and Pricing Fundamentals.- 10. Calculating the \Greeks.- 11. European Options with Monte Carlo Simulation.- 12. Binomial and Trinomial Trees.- 13. Finite Difference Methods.- 14. Asian/Path-Dependent Options with Monte Carlo.- 15. Exotic Options.- 16. Implied Volatility.- 17. Stochastic Volatility.- 18. Random Number Generation and Statistical Distributions.- 19. Jump-Diffusion Models.- 20. Single Factor Interest Rate Models.- 21. Tree Building Procedures: BDT, Hull White Tree, Lognormal (Hull-White), Vasicek Cox-Ingersoll-Ross.- 22. Bermudan and Exotic Interest Rate Derivatives.- 23. Single Factor Black-Scholes with Finite Difference Methods.- 24. Two-Factor Models and the Heath-Jarrow-Morton Model.