C++ for Financial Mathematics

John Armstrong

December 21, 2016 by Chapman and Hall/CRC
Textbook - 388 Pages - 60 B/W Illustrations
ISBN 9781498750059 - CAT# K27177
Series: Chapman and Hall/CRC Financial Mathematics Series


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  • Over 100 exercises with online solutions to selected exercises.
  • 24 working software projects to download for Windows, Unix or Mac.
  • C++ programming including; Object oriented programming in C++; The Standard Template Library; C++11 features such auto and lambda functions; Boosting performance with threads
  • Financial applications including; Pricing a portfolio derivatives; Simulating the delta hedging strategy; Markets with multiple risk factors
  • Tutor’s website with slides and solutions.


If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you.

C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples.

As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures.

The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.