Packt is pleased to announce the release of Advanced Quantitative Finance with C++. The book will take readers through a fast but structured crash-course in quantitative finance, from theory to practice. The print book comes in at 101 pages and is competitively priced at $26.99, while the eBook and Kindle versions are available for $13.59.
About the author: Dr. Alonso Peña is 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 PhD degree from the University of Cambridge in finite element analysis and the Certificate in Quantitative Finance (CQF) from 7city Learning UK. He has lectured and supervised graduate students from the universities of Cambridge, Oxford, Bocconi, Bergamo, Pavia, Castellanza, and the Politecnico di Milano. His area of expertise is the pricing of financial derivatives, in particular, in structured products. Alonso has been published in the fields of quantitative finance, applied mathematics, neuroscience, and the history of science.
Quantitative Finance is a field of applied mathematics concerned with financial markets. Navigating it successfully requires specialist knowledge from many sources, such as financial derivatives, stochastic calculus, and the Monte Carlo simulation. It also requires a hands-on ability to transform theory into practice effectively. C++ programs can be optimized pretty well and are faster than anything else.
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.
The following essential topics are covered in this book:
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++
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.
About Packt: Packt is one of the most prolific and fast-growing tech book publishers in the world. Originally focused on open source software, Packt books focuses on practicality, recognising that readers are ultimately concerned with getting the job done. Packt’s digitally-focused business model allows them to publish up-to-date books in very specific areas.
|Advanced Quantitative Finance with C++|
|Discover the most important mathematical models used in quantitative finance today to price derivative instruments
For more information, please visit: http://www.packtpub.com/advanced-quantitative-finance-with-c-plus-plus/book