Quantitative Finance: An Object-Oriented Approach in C++ (Chapman and Hall/CRC Financial Mathematics Series) 1st Edition by Erik Schlogl (PDF)

Description

Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field.The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing.Web ResourceThe author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐1. PROBLEM: Microsoft Visual Studio Express 2012 is no longer available.From that authors webpage “Compilation using Microsoft Visual Studio”“The C++ code discussed in the book makes extensive use of the Boost and Blitz++ libraries, which must be installed in order to compile the code.” “Please note that Blitz++ currently does not work with Microsoft Visual Studio Express 2013; please use Microsoft Visual Studio Express 2012 instead (see below).” “Solution files are provided for compiling and linking the C++ code using Microsoft Visual Studio Express 2012.”2. PROBLEM: I cannot configure Blitz for CodeBlocks (i686-w64-mingw32 compiler).

⭐Recommended to buy this book by a real quant. A good book, up to date. Heavily using three libraries : boost, blitz++ and CLAPACK which are useful in numerical.

⭐Professor Schlogl is a well known academic expert in quantitative finance pricing. In this book, Schlogl presents a new approach to modelling in C++. This is not a book for learning C++, you should be quite confident in the language. This book covers the BS option pricing, HJM, Monte-Carlo and Finite-Difference Methods, therefore the content is quite rich. The material is very interesting and most likely present you some new challenge even if you’ve worked in the field for many years. Don’t believe me? Do you know what a MBinary is? The book has extensive coverage for this new framework. It’s truly amazing because one can use the same code to price basically everything from a simple vanilla to any exotic option. Please google the paper “The Quintessential Option Pricing Formula” by Max Skipper if you want to know more.

⭐ok

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