Advanced Quantitative Finance with C++

Quantitative Finance is a highly complex interdisciplinary field, which covers mathematics, finance, and information technology. Navigating it successfully requires specialist knowledge from many sources, such as financial derivatives, stochastic calculus, and Monte Carlo simulation. Crucially, it also requires a hands-on ability to transform theory into practice effectively.

In Advanced Quantitative Finance with C++, we provide a guided tour through this exciting field. The key mathematical models used to price financial derivatives are explained as well as the main numerical models used to solve them. In particular,equity, currency, interest rates, and credit derivatives are discussed. The book also presents how to implement these models in C++ step by step. Several fully working, complete examples are given that can be immediately tested by the reader to support and complement their learning