Product Description

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required. - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:

• C++ fundamentals and object-oriented thinking in QF
• Advanced object-oriented features such as inheritance and polymorphism
• Template programming and the Standard Template Library (STL)
• An introduction to GOF design patterns and their applications in QF Applications

The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.

This book contains a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.

This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Product Details

• Amazon Sales Rank: #437691 in Books
• Published on: 2006-12-13
• Number of items: 1
• Binding: Hardcover
• 438 pages

From the Inside Flap
"Duffy has successfully plugged a huge gap in the market by producing a wonderfully written introductory book, in a pedagogic – making mathematical modelling in C++ accessible to a large audience. As a teacher of C++, I will be strongly recommending this book to anyone interested in applying C++ to Quantitative Finance."
—Riaz Ahmad, 7city Learning Ltd

"Finally, the book I wish I had had when I first started studying the C++ programming language. This witty, clean and comprehensive guide is a must-have for the would-be quant and a precious reference for the practitioner in quantitative finance. After completing the reading, you will earn a ‘black belt’ in C++ for financial engineering."
—Michele L. Baldini, Global Equity Linked Products | Quantitative Analytics, Merrill Lynch & Co

"It seems that C++ is here to stay – but not as the easiest language to master. Daniel Duffy has been there and done that for a few decades, and now he shares his expertise. In this book, he takes the reader to the black belt level – i.e., the level at which one can start learning advanced C++ techniques and best practices."
—Luigi Ballabio (co-creator of QuantLib)

"Among the vast C++ and quantitative finance literature there is a surprising dearth of material on their intersection – on quantfin-specific numerical methods using C++ and design patterns. Daniel Duffy’s new book Introduction to C++ for Financial Engineers nicely fills this vacuum and should prove to be a valuable resource for students and professionals looking to learn or enhance their C++ skills."
—Christopher Merrill, University of Chicago Program on Financial Mathematics

"Out of the plethora of books introducing C++ this book simply stands out by the clear exposure of the language and the practicality of its examples. For any student or practitioner that learns or wants to improve his knowledge of this powerful programming language widely used in the business world of finance Dr. Duffy's book is highly recommended."
—Valentin D. Ghita, MSc Student, Baruch College, CUNY

From the Back Cover
The object-oriented programming language C++ is the de facto standard for developing real-life applications for Quantitative Finance and Financial Engineering. This language was designed by Dr. Bjarne Stroustup in the early 1990’s and it has become one of the most popular and robust languages for many important areas such as medical systems, computer graphics, telecommunications and in application areas where performance, accuracy and interoperability issues play a key role. The general expectation is that its importance will grow in the coming years.

C++ has also become the de facto standard for quant development and analysis. Knowledge of C++ is mandatory for many openings and job positions in Quantitative Finance. This book is the first book that discusses many of the issues that you need to know in order to be able to design and implement real-world applications. We focus on a number of critical topics:

• Learning the essential syntax of C++ (‘getting the fundamentals right’)
• Designing and implementing generic data structures using STL
• Numerous applications (lattices, finite difference, Monte Carlo, etc)
• Libraries, design patterns (GOF, POSA) and reusable software frameworks
• Introduction to COM and C++ to Excel interoperability

Each chapter deals with one major topic. Furthermore, each chapter builds only on the results of the chapters preceding it, so that we keep the amount of forward referencing to a minimum. We discuss all the syntax that is discussed in the IT books and we apply it to QF applications. This book is self-contained and we advise its use in combination with the well-known standard reference work by Dr. Stroustrup.

Last, but not least, each chapter concludes with exercises and projects to test what you learned in that chapter. The exercises are based on the tactic: ‘get it working, then get it right, then get it optimised’. Furthermore, these exercises will also hopefully prepare you for your job interviews!

Included with the book is a CD will full source code, including working code for lattice, finite difference and Monte Carlo methods for one-factor and two-factor pricing models as well as an easy-to-use C++ visualization package to help you examine the output from these numerical methods.

About the Author
DANIEL J. DUFFY has been involved in software development projects using C++ and object-oriented design techniques since 1988. He organized the first C++ course in the Netherlands in 1989 and has worked on a variety of C++ projects in areas such as computer graphics, optical technology, process control and quantitative finance systems. In 1993 he worked on an early version of a large object-oriented system for derivatives’ pricing and hedging models. He is designer/trainer and has trained mote than 2000 C++ developers in recent years.
A companion book to the current one is “Financial instrument pricing using C++” (Wiley 2004). Since 1996 he has written seven books on object-oriented design and programming. Daniel Duffy has a Phd in Numerical Analysis from Trinity College Dublin. He lives in the Netherlands with his wife Ilona and son Brendan.
He can be contacted at dduffy@datasim.nl

Customer Reviews

Disappointing quant C++ book
The motivation and objective of the book are quite appealing, teaching C++ to people who want to move to quant finance. However, the job is not well implemented. I read through most of the book and were quite surprised on the number of chapters and how few contents each chapter contains. Each chapter just gently touches the surface of the subject and it hardly covers much useful knowledge of C++ compared to C++ primer and effective C++ books. If one is new to C++, do not expect to learn much from the book. If one is quite familar to C++ but has not much experience on applying C++ to quant finance, the use of this book is quite limited. Although some example codes are printed in the book, there are really few further explanation on the design and syntax of the codes.

Moreover, the book is way overpriced given its limited value. I still regret much spending 70 bucks on it.
In conclusion, it has an attractive title but is not well designed and written.

A rather pointless and useless book
According to the author this text is supposed to serve as a self-contained introduction to C++ for beginners without any prior experience in C or C++. Unfortunately, the author's lack of didactic talent and even more so his negligence to introduce and explain key concepts like e.g. the "this" pointer (all the while making extensive use of it in his examples) would probably foil any attempt of using it in that way.

Initially, I thought the text might still be useful for people hoping to refresh prior knowledge. That is until I happened to come across the code excerpt on page 107 that almost made me fall off my chair. There, the author instead of employing a simple do-while loop actually constructs a loop using goto! On top of that, he fails to initialize a member variable (tol) in the constructor that he merrily goes on to use later on. At the same time he introduces and increments count variable (n) that has no practical use at all.

Another reviewer referred to the book as having the feel of a student's scratch pad. I have to disagree. This text is nothing but an utter embarrassment.

The first step to learn C++ in quantitative finance
Well, this book has listed out the essential elements for option pricing using C++. You are assumed to have a basic background of C++ programming up to OOP and simple STL. All materials covered in part I and II are well written for sharpening your knowledge in STL, inheritance, polymorphism and data structures which are useful for filling the gap between C++ language and application in computational finance. In part III, a core section of this book, it lists out the most popular techniques for pricing derivatives products such as tree method, Finite difference scheme and Monte Carlo method. This book is highly recommended for the first glance in computational finance. With the full source code in the attached CD, you can self-study easily. In addition, another Duffy's book - Financial Instrument Pricing Using C++ and Justin 's book - Modeling Derivatives in C++ are good references for intermediate level learning.