Advanced Quantitative Finance with C++ will introduce readers to the key mathematical models used to price financial derivatives as well as the implementation of main numerical models used to solve them. The key mathematical models discussed in the book are price equity, currency, interest rates, and credit derivatives.
The book is divided into three parts. In the first part of the book, readers will get to know about the main mathematical models used in the world of financial derivatives. The second part includes the numerical methods used to solve the mathematical models. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives. The models used include the Black-Scholes and Garman-Kohlhagen models, the LIBOR market model, and structural and intensity credit models. The numerical methods described are the Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods.
This book is ideal for quantitative analysts, risk managers, or a professionals working in the field of quantitative finance who want a quick hands-on introduction to the pricing of financial derivatives. Readers should be familiar with basic programming concepts and C++ programming language.
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