Introduction to C++ for Financial Engineers An Object-Oriented Approach

Name: Introduction to C++ for Financial Engineers
Brand: John Wiley & Sons
SKU: 9780470015384
Price: 1150.00 HKD
Availability: OutOfStock
Author: Daniel J. Duffy
ISBN: 9780470015384

By Daniel J. Duffy

John Wiley & Sons October 2006

Specifications

ISBN-13: 9780470015384
Publisher: John Wiley & Sons
Publication: October 2006
Format: Hardback , 438 pages
Jurisdiction: International ? Countri(es) for reference only

Details

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required. - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:

C++ fundamentals and object-oriented thinking in QF
Advanced object-oriented features such as inheritance and polymorphism
Template programming and the Standard Template Library (STL)
An introduction to GOF design patterns and their applications in QF Applications

The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.

This book contains a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.

This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

0. Goals of this Book and Global Overview.

Part I C++ Essential Skills.

1 Introduction to C++ and Quantitative Finance.

2 The Mechanics of C++: from Source Code to a Running Program.

3 C++ Fundamentals and My First Option Class.

4 Creating Robust Classes.

5 Operator Overloading in C++.

6 Memory Management in C++.

7 Functions, Namespaces and Introduction to Inheritance.

8 Advanced Inheritance and Payoff Class Hierarchies.

9 Run-Time Behaviour in C++.

10 An Introduction to C++ Templates.

Part II Data Structures, Templates and Patterns.

11 Introduction to Generic Data Structures and Standard Template Library (STL).

12 Creating Simpler Interfaces to STL for QF Applications.

13 Data Structures for Financial Engineering Applications.

14 An Introduction to Design Patterns.

Part III QF Applications.

15 Programming the Binomial Method in C++.

16 Implementing One-Factor Black Scholes in C++.

17 Two-Factor Option Pricing: Basket and Other multi-Asset Options.

18 Useful C++ Classes for Numerical Analysis Applications in Finance.

19 Other Numerical Methods in Quantitative Finance.

20 The Monte Carlo Method Theory and C++ Frameworks.

21 Skills Development: from White Belt to Black Belt.

Part IV Background Information.

22 Basic C Survival Guide.

23 Advanced C Syntax.

24 Datasim Visualisation Package in Excel: Drivers and Mechanisms.

25 Motivating COM and Emulation in C++.

26 COM Fundamentals.

References.

Index.

About the Author

DANIEL J. DUFFY has been involved in software development projects using C++ and object-oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object-oriented system for derivatives’ pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.
A companion book to the current one is “Financial instrument pricing using C++” (Wiley 2004). Since 1996 he has written seven books on object-oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.
He can be contacted at [email protected]

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