Features

• Presents quantitative finance in a pragmatic manner with a focus on practical implementation
• Serves as a self-contained reference for the implementation of the key models and methods
• Expresses models and algorithms in the de facto industry-standard programming language C++
• Takes an object-oriented approach, starting from simple building blocks to assemble more complex and powerful models
• Provides working C++ source code on CD-ROM

Summary

A textbook for students and a reference guide for professionals, this text builds a foundation in the key methods and models of quantitative finance from the perspective of their implementation in C++. It introduces computational finance in a pragmatic manner, focusing on practical implementation. The author takes an object-oriented approach that starts from simple building blocks for assembling more complex and powerful models. The author expresses models and algorithms of the industry-standard C++ language and includes working C++ source code on a CD-ROM that accompanies the book.