About the book
Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
Editions of Numerical Methods in Finance with C++
- Hardcover
- ISBN 9781107003712
- Paperback
- ISBN 9780521177160
Read an Excerpt
Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
Frequently Asked Questions
What is Numerical Methods in Finance with C++ about?
Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
What core themes, tropes, or subjects are explored in Numerical Methods in Finance with C++?
Computing and Information Technology > Computer programming / software engineering > Programming and scripting languages: general
Where can I read a sample of Numerical Methods in Finance with C++?
You can read an official preview of the few pages here https://www.book2look.com/book/9781107003712
Who is/are the Author/s of the book Numerical Methods in Finance with C++?
Maciej J. Capiński, Tomasz Zastawniak
What are the ISBN numbers for the physical and digital editions?
Numerical Methods in Finance with C++ is available as hardcover(ISBN 9781107003712) and paperback(ISBN 9780521177160)