Advanced Quantitative Finance with C++

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Advanced Quantitative Finance with C++ by Alonso Peña

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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.

What this book covers

Chapter 1, What is Quantitative Finance?, gives a brief introduction to Quantitative Finance, delimits the subject to option pricing with C++, and describes the structure of the book.

Chapter 2, Mathematical Models, offers a summary of the fundamental models used to price derivatives in modern financial markets.

Chapter 3, Numerical Methods, reviews the three main families of numerical methods used to solve the mathematical models described in the Chapter 2, Mathematical Models.

Chapter 4, Equity Derivatives in C++, demonstrates the concrete pricing of equity derivatives using C++ in a basic contract (European Call/Put), and an advanced contract (multi-asset options).

Chapter 5, Foreign Exchange Derivatives with C++, illustrates the pricing of foreign exchange derivatives using C++ in a basic contract (continuous barrier) and an advanced contract (terminal barrier).

Chapter 6, Interest Rate Derivatives with C++, shows the pricing of interest rate derivatives using C++ in a basic contract and an advanced Interest Rate Swap (IRS).

Chapter 7, Credit Derivatives with C++, demonstrates the concrete pricing of credit derivatives using C++ in a basic contract (Merton model) and an advanced contract (Credit Default Swap (CDS)).

Appendix A, C++ Numerical Libraries for Option Pricing, gives a short guide to the various numerical libraries that can be used for option pricing.

Appendix B, References, lists all the bibliographic references used throughout the chapters of this book.



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