1. Edition - October 2006
89.90 Euro
2006. 438 Pages, Hardcover
- Practical Approach Book -
ISBN-10: 0-470-01538-1
ISBN-13: 978-0-470-01538-4 - John Wiley & Sons






Sample Chapter

Short description
This book serves as an introductory companion volume to Daniel Duffy's book Financial Instrument Pricing Using C++ (0-470-85509-6). It presents a step-by-step introduction to C++, with numerous examples and applications in finance. It will help bring developers, quantitative analysts, and financial engineers up to speed on C++ quickly. Ideal for those without experience with C++, the book features examples, source code on the accompanying CD-ROM, and end-of-chapter exercises.

From the contents
0. Goals of this Book and Global Overview.

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++.

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

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

19 Other Numerical Methods in Quantitative Finance.

20 The Monte Carlo Method Theory and C++ Frameworks.

21 Skills Development: from White Belt to Black Belt.

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.


References.

Index.