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Introduction to C++ for Financial Engineers

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Introduction to C++ for Financial Engineers

An Object-Oriented Approach

Daniel J. Duffy

Wiley
Collection: The Wiley Finance Series
Publication date : 2013-10-24

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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 includes a companion website 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)

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About the book

Author

Daniel J. Duffy

Imprint

Wiley

Collection

The Wiley Finance Series

Publication date

2013-10-24

Pages

448 pages

Print ISBN

9780470015384

Language

English

Ebook informations

EAN PDF

9780470058893

Price

£82.28

Copy count 0

Print count 440

File size 4096 Ko

Informations accessibility

EAN EPUB

9781118856468

Price

£82.28

Copy count 0

Print count 448

File size 2273 Ko

Informations accessibility

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About author(s)

Daniel J. Duffy

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