A Brief Review of the C++ Programming Language. Basic Building Blocks. Lattice Models for Option Pricing. The Black/Scholes World. Finite Difference Methods. Implied Volatility and Volatility Smiles. Monte Carlo Simulation. The Heath/Jarrow/Morton Model. Appendices. References. Index.
University of Technology, Sydney, New South Wales, Australia University of Cambridge and Cambridge Systems Associates Limited, UK University of Maryland, College Park, USA
"… a comprehensive, dual-perspective introduction to quantitative
finance methods. By providing implementation details alongside
theory, Schlögl ensures that one is never overemphasized at the
expense of the other. All of the code described is reusable and
reliant on only a small number of external libraries, meaning that
this book is an invaluable resource to students and professionals
in the field alike."
—Computing Reviews, March 2015"I recommend Erik Schlogl’s new book
to all those interested in model implementation. From quasi-random
sequences to HJM to the Excel interface, with full C++ code, there
is something here for everyone."
—Jim Gatheral, Presidential Professor, Baruch College, CUNY"If 25
years ago I had started in finance using C instead of Visual Basic,
perhaps now I might be approximating Prof. Schlogl’s balanced and
professional C++ framework for pricing financial derivatives. From
interacting with quants writing production code I have learnt that
several years’ experience with C++ can be dangerous as the
possibility of writing incomprehensible (to others) abstract code
becomes attractive. In this respect Prof. Schlogl strikes just the
right balance between using the full power of C++ to encapsulate,
concentrate, and abstract code, while remaining comprehensible. His
book thoroughly outlines a framework, including procedures and
libraries, for constructing the various building blocks of pricing
systems for financial derivatives. Users implementing his sort of
framework can be confident their code will be understood, and that
it can be maintained and revised without dating. It is one of the
dozen or so books that ought to be on every financial quant’s
bookshelf; if only I had had it earlier!"
—Alan Brace, Senior Quantitative Analyst in Market Risk, National
Australia Bank, and Adjunct Professor, Quantitative Finance
Research Centre, University Technology of Sydney "While some view
quantitative finance as just another playground for beautiful
mathematical theories, it is ultimately a very practical discipline
where one’s success is more often than not measured by the quality,
speed, and accuracy of computer code written to solve real-world
problems. Quantitative Finance: An Object-Oriented Approach in C++
embraces this pragmatic view wholeheartedly to great success. The
three core competencies of a successful quant: firm grasp of
theory, strong command of numerical methods, and software design
and development skills are taught in parallel, inseparable in the
book as they are in the real world. A fantastic resource for
students looking to become quants, the book sets a standard on how
practically relevant quantitative finance should be taught. Those
already in the field will also no doubt learn a thing or two on how
to represent common financial constructs as logical and reusable
software components."
—Vladimir V. Piterbarg, Head of Quantitative Analytics, Barclays
"Students and practitioners of quantitative analysis have long
wanted a detailed exposition of computational finance that includes
implementation details and quality C++ code. Their desires are no
longer unrequited—this book contains a clear and careful discussion
of many of the key derivatives pricing models together with
object-oriented C++ code. Substantial discussion of the design
choices made is also included. I believe that this book is destined
to be part of every financial engineer’s toolkit."
—Professor Mark Joshi, University of Melbourne
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