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Options and Derivatives Programming in C++

Algorithms and Programming Techniques for the Financial Industry

  • CARLOSĀ OLIVEIRA

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Carlos Oliveira
    Pages 1-18
  3. Carlos Oliveira
    Pages 19-34
  4. Carlos Oliveira
    Pages 35-66
  5. Carlos Oliveira
    Pages 67-83
  6. Carlos Oliveira
    Pages 85-100
  7. Carlos Oliveira
    Pages 101-113
  8. Carlos Oliveira
    Pages 115-126
  9. Carlos Oliveira
    Pages 127-142
  10. Carlos Oliveira
    Pages 143-160
  11. Carlos Oliveira
    Pages 161-173
  12. Carlos Oliveira
    Pages 175-187
  13. Carlos Oliveira
    Pages 189-205
  14. Carlos Oliveira
    Pages 207-221
  15. Carlos Oliveira
    Pages 223-240
  16. Carlos Oliveira
    Pages 241-253
  17. Back Matter
    Pages 255-260

About this book

Introduction

This is a hands-on book for programmers wanting to learn how C++ is used in the development of solutions for options and derivatives trading in the financial industry. As an important part of the financial industry, options and derivatives trading has become increasingly sophisticated. Advanced trading techniques using financial derivatives have been used at banks, hedge funds, and pension funds. Because of stringent performance characteristics, most of these trading systems are developed using C++ as the main implementation language.

Options and Derivatives Programming in C++ covers features that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and support for numerical libraries. New features introduced in the C++11 and C++14 standard are also covered: lambda functions, automatic type detection, custom literals, and improved initialization strategies for C++ objects.

Readers will enjoy the how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. It includes advanced C++ concepts as well as the basic building libraries used by modern C++ developers, such as the STL and Boost, while also leveraging knowledge of object-oriented and template-based programming.

Options and Derivatives Programming in C++ provides a great value for readers who are trying to use their current programming knowledge in order to become proficient in the style of programming used in large banks, hedge funds, and other investment institutions. The topics covered in the book are introduced in a logical and structured way and even novice programmers will be able to absorb the most important topics and competencies.



Keywords

Quantitative Finance Derivatives Options Trading Machine trading Credit Default Swaps Forex derivatives Black-Sholes Monte-Carlo Back Testing Credit Derivatives

Authors and affiliations

  • CARLOSĀ OLIVEIRA
    • 1
  1. 1.Monmouth JunctionUSA

Bibliographic information