Advanced Quantitative Finance with C++


Advanced Quantitative Finance with C++
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Overview
Table of Contents
Author
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  • Describes the key mathematical models used for price equity, currency, interest rates, and credit derivatives
  • The complex models are explained step-by-step along with a flow chart of every implementation
  • Illustrates each asset class with fully solved C++ examples, both basic and advanced, that support and complement the text

Book Details

Language : English
Paperback : 124 pages [ 235mm x 191mm ]
Release Date : June 2014
ISBN : 1782167226
ISBN 13 : 9781782167228
Author(s) : Alonso Peña, Ph.D.
Topics and Technologies : All Books, Open Source


Table of Contents

Preface
Chapter 1: What is Quantitative Finance?
Chapter 2: Mathematical Models
Chapter 3: Numerical Methods
Chapter 4: Equity Derivatives in C++
Chapter 5: Foreign Exchange Derivatives with C++
Chapter 6: Interest Rate Derivatives with C++
Chapter 7: Credit Derivatives with C++
Appendix A: C++ Numerical Libraries for Option Pricing
Appendix B: References
Index
  • Chapter 2: Mathematical Models
    • Equity
    • Foreign exchange
    • Interest rates
      • Short rate models
      • Market models
    • Credit
      • Structural models
      • Intensity models
    • Summary
  • Chapter 3: Numerical Methods
    • The Monte Carlo simulation method
      • Algorithm of the MC method
      • Example of the MC method
    • The Binomial Trees method
      • Algorithm of the BT method
      • Example of the BT method
    • The Finite Difference method
      • Algorithm of FDM
      • Example of the FD method
    • Summary

Alonso Peña, Ph.D.

Alonso Peña, Ph.D. is an SDA Professor at the SDA Bocconi School of Management in Milan. He has worked as a quantitative analyst in the structured products group for Thomson Reuters Risk and for Unicredit Group in London and Milan. He holds a Ph.D. degree from the University of Cambridge on Finite Element Analysis and the Certificate in Quantitative Finance (CQF) from 7city Learning, the U.K. He has lectured and supervised graduate and post-graduate students from the universities of Oxford, Cambridge, Bocconi, Bergamo, Pavia, Castellanza, and the Politecnico di Milano. His area of expertise is the pricing of financial derivatives, in particular, structured products.

He has publications in the fields of Quantitative Finance, applied mathematics, neuroscience, and the history of science. He has been awarded the Robert J. Melosh Medal—first prize for the best student paper on Finite Element Analysis, Duke University, USA; and the Rouse Ball Travelling Studentship in Mathematics, Trinity College, Cambridge. He has been to the Santa Fe Institute, USA, to study complex systems in social sciences.

His publications include the following:

  • The One Factor Libor Market Model Using Monte Carlo Simulation: An Empirical Investigation
  • On the Role of Behavioral Finance in the Pricing of Financial Derivatives: The Case of the S&P 500
  • Option Pricing with Radial Basis Functions: A Tutorial
  • Application of extrapolation processes to the finite element method
  • On the Role of Mathematical Biology in Contemporary Historiography

He is currently working as a tutor for CQF (Fitch Learning) and a visiting faculty for the Indian Institute for Quantitative Finance, Mumbai.

He lives in Italy with his wife Marcella, his daughters Francesca and Isabel, and his son Marco.

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What you will learn from this book

  • Solve complex pricing problems in financial derivatives using a structured approach with the Bento Box template
  • Explore some key numerical methods including binomial trees, finite differences, and Monte Carlo simulation
  • Develop your understanding of equity, forex, interest rate, and credit derivatives through concrete examples
  • Implement simple and complex derivative instruments in C++
  • Discover the most important mathematical models used in quantitative finance today to price derivative instruments
  • Effectively Incorporate object oriented programming (OOP) principles into the code

In Detail

This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. 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, structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++.

Approach

The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice.

Who this book is for

If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level.

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