An integrated guide to C++ and computational finance, this book is a follow-up and major extension to Daniel J. Duffy’s 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved significantly over the last decade, and this updated version documents these advancements while highlighting their advantages for quant developers. The author focuses on:
- A detailed account of the new C++11 standard and its applicability to computational finance.
- The use of de-facto standard libraries like Boost and Eigen to enhance developer productivity.
- Multiparadigm software development using object-oriented, generic, and functional programming styles.
- Flexible numerical algorithms, including modern methods and multiparadigm design patterns.
- A thorough explanation of Finite Difference Methods across six chapters, covering new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models.
- The development of applications from financial models to algorithmic design and code through a coherent approach.
- Interoperability with Excel add-ins, C#, and C++/CLI.
- The application of random number generation in C++11 for Monte Carlo simulation.
This comprehensive guide is essential for anyone working in computational finance or seeking to enhance their skills in C++ programming within this domain. With 1168 pages, it provides extensive coverage and practical insights into the latest techniques and tools.
