Description:
If you know a little bit about financial mathematics but don't yet know a lot about programming, then C++ for Financial Mathematics is for you.
C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples.
Review Quotes:
"OOP in C++ remains a difficult programming language and paradigm to learn and develop. There remains a shortage of high-quality, easy to follow texts in C++ for mathematical finance. Dr Armstrong has successfully produced a self-contained publication that begins with the basics and patiently guides the student to advanced object-oriented C++ programming in a quant finance setting. The writing style is very user-friendly and immediately reassures the reader, while numerous exercises allow solid progression. The author's extensive background in academia and as a practitioner is apparent throughout; the latter being a key accomplishment in setting the book apart from others. As a teacher of mathematical and computational finance, Armstrong's book will feature at the top of my list of recommended textbooks."
-- Dr. Riaz Ahmad, The Fitch Group and University College London (Departments of Mathematics and Computer Science)