Advanced Quantitative Finance with C++

Create and implement mathematical models in C++ using quantitative finance

Advanced Quantitative Finance with C++

Alonso Peña, Ph.D.

Create and implement mathematical models in C++ using quantitative finance
eBook
$10.00
RRP $16.99
Save 41%
Print + eBook
$26.99
RRP $26.99
What do I get with a Mapt Pro subscription?
  • Unlimited access to all Packt’s 5,000+ eBooks and Videos
  • Early Access content, Progress Tracking, and Assessments
  • 1 Free eBook or Video to download and keep every month after trial
What do I get with an eBook?
  • Download this book in EPUB, PDF, MOBI formats
  • DRM FREE - read and interact with your content when you want, where you want, and how you want
  • Access this title in the Mapt reader
What do I get with Print & eBook?
  • Get a paperback copy of the book delivered to you
  • Download this book in EPUB, PDF, MOBI formats
  • DRM FREE - read and interact with your content when you want, where you want, and how you want
  • Access this title in the Mapt reader
What do I get with a Video?
  • Download this Video course in MP4 format
  • DRM FREE - read and interact with your content when you want, where you want, and how you want
  • Access this title in the Mapt reader
$10.00
$26.99
RRP $16.99
RRP $26.99
eBook
Print + eBook

Frequently bought together


Advanced Quantitative Finance with C++ Book Cover
Advanced Quantitative Finance with C++
$ 16.99
$ 10.00
Modern C++ Programming Cookbook Book Cover
Modern C++ Programming Cookbook
$ 39.99
$ 10.00
Buy 2 for $20.00
Save $36.98
Add to Cart

Book Details

ISBN 139781782167228
Paperback124 pages

Book Description

This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives.

The models used include the Black-Scholes and Garman-Kohlhagen models, the LIBOR market model, structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++.

What You Will Learn

  • Solve complex pricing problems in financial derivatives using a structured approach with the Bento Box template
  • Explore some key numerical methods including binomial trees, finite differences, and Monte Carlo simulation
  • Develop your understanding of equity, forex, interest rate, and credit derivatives through concrete examples
  • Implement simple and complex derivative instruments in C++
  • Discover the most important mathematical models used in quantitative finance today to price derivative instruments
  • Effectively Incorporate object oriented programming (OOP) principles into the code

Authors

Book Details

ISBN 139781782167228
Paperback124 pages
Read More

Read More Reviews

These popular $10 titles might interest you

Modern C++ Programming Cookbook Book Cover
Modern C++ Programming Cookbook
$ 39.99
$ 10.00
Learning Quantitative Finance with R Book Cover
Learning Quantitative Finance with R
$ 39.99
$ 10.00
Mastering C++ Multithreading Book Cover
Mastering C++ Multithreading
$ 35.99
$ 10.00
C++17 STL Cookbook Book Cover
C++17 STL Cookbook
$ 39.99
$ 10.00
Python for Finance - Second Edition Book Cover
Python for Finance - Second Edition
$ 39.99
$ 10.00
Mastering Python for Finance Book Cover
Mastering Python for Finance
$ 39.99
$ 8.00