Advanced Quantitative Finance with C++ - Pena Alonso

Table of Contents Advanced Quantitative Finance with C++ Credits About the Author Acknowledgments About the Reviewer www.PacktPub.com Support files, eBooks, discount offers, and more Why subscribe? Free access for Packt account holders Preface What this book covers What you need for this book Who this book is for Conventions Reader feedback Customer support Downloading the example code Errata Piracy Questions 1. What is Quantitative Finance? Discipline 1 – finance (financial derivatives) Discipline 2 – mathematics Discipline 3 – informatics (C++ programming) The Bento Box template Summary 2. Mathematical Models Equity

Foreign exchange Interest rates Short rate models Market models Credit Structural models Intensity models Summary 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 4. Equity Derivatives in C++ Basic example – European Call Advanced example – equity basket Summary 5. Foreign Exchange Derivatives with C++ Basic example – European FX Call (FX1) Advanced example – FX barrier option (FX2) Summary 6. Interest Rate Derivatives with C++ Basic example – plain vanilla IRS (IR1) Advanced example – IRS with Cap (IR2) Summary 7. Credit Derivatives with C++

Basic example – bankruptcy (CR1) Advanced example – CDS (CR2) Summary A. C++ Numerical Libraries for Option Pricing Numerical recipes Financial numerical recipes The QuantLib project The Boost library The GSL library B. References Chapter 2 Chapter 3 Chapter 4 Chapter 5 Chapter 6 Chapter 7 Appendix A Index

Advanced Quantitative Finance with C++

Advanced Quantitative Finance with C++ Copyright © 2014 Packt Publishing All rights reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, without the prior written permission of the publisher, except in the case of brief quotations embedded in critical articles or reviews. Every effort has been made in the preparation of this book to ensure the accuracy of the information presented. However, the information contained in this book is sold without warranty, either express or implied. Neither the author, nor Packt Publishing, and its dealers and distributors will be held liable for any damages caused or alleged to be caused directly or indirectly by this book. Packt Publishing has endeavored to provide trademark information about all of the companies and products mentioned in this book by the appropriate use of capitals. However, Packt Publishing cannot guarantee the accuracy of this information. First published: June 2014

Production reference: 1180614 Published by Packt Publishing Ltd. Livery Place 35 Livery Street Birmingham B3 2PB, UK. ISBN 978-1-78216-722-8 www.packtpub.com Cover image by VTR Ravi Kumar (<vtrravikumar@gmail.com >)

Credits Author Alonso Peña, Ph.D. Reviewers Marco Airoldi Joseph Smidt Commissioning Editor Grant Mizen Acquisition Editor Harsha Bharwani Content Development Editor Amit Ghodake Technical Editor Humera Shaikh Copy Editor

Laxmi Subramanian Project Coordinator Harshal Ved Proofreader Clyde Jenkins Graphics Sheetal Aute Ronak Dhruv Valentina Dsilva Disha Haria Abhinash Sahu Indexer Hemangini Bari Production Coordinator Kyle Albuquerque Cover Work

Nilesh Bambardekar

Advanced Quantitative Finance with C++ - Pena Alonso

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