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Options and Derivatives Programming in C++20

Algorithms and Programming Techniques for the Financial Industry

  • Book
  • © 2020

Overview

Authors:
  1. Carlos Oliveira

    1. Seattle, USA

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  • The first book on C++ problems in options, derivatives trading, updated for C++20
  • Presents design patterns for quantitative analysis
  • Shows how to build valuation models and pricing algorithms

  • 12k Accesses

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Table of contents (14 chapters)

  1. Front Matter

    Pages i-xxiv
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  2. Options Concepts

    • Carlos Oliveira
    Pages 1-27

  3. Financial Derivatives

    • Carlos Oliveira
    Pages 29-51

  4. Basic C++ Algorithms

    • Carlos Oliveira
    Pages 53-98

  5. Object-Oriented Techniques

    • Carlos Oliveira
    Pages 99-123

  6. Design Patterns for Options Processing

    • Carlos Oliveira
    Pages 125-148

  7. Template-Based Techniques

    • Carlos Oliveira
    Pages 149-168

  8. STL for Derivatives Programming

    • Carlos Oliveira
    Pages 169-188

  9. Functional Programming Techniques

    • Carlos Oliveira
    Pages 189-211

  10. Linear Algebra Algorithms

    • Carlos Oliveira
    Pages 213-240

  11. Algorithms for Numerical Analysis

    • Carlos Oliveira
    Pages 241-270

  12. Models Based on Differential Equations

    • Carlos Oliveira
    Pages 271-290

  13. Basic Models for Options Pricing

    • Carlos Oliveira
    Pages 291-315

  14. Monte Carlo Methods

    • Carlos Oliveira
    Pages 317-337

  15. Using C++ Libraries for Finance

    • Carlos Oliveira
    Pages 339-365

  16. Back Matter

    Pages 367-393
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Keywords

About this book

Master the features of C++ that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and numerical libraries. This book also covers new features introduced in C++20 and other recent standard releases: modules, concepts, spaceship operators, and smart pointers. 

You will explore how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. These include 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. 

This book is written with the goal of reaching readers who need a concise, algorithms-based book, providing basic information through well-targeted examples and ready-to-use solutions. You will be able to directly apply the concepts and sample code to some of the most common problems faced in the analysis of options and derivative contracts.

What You Will Learn

  • Discover how C++ is used in the development of solutions for options and derivatives trading in the financial industry 
    • Grasp the fundamental problems in options and derivatives trading
  • Converse intelligently about credit default swaps, Forex derivatives, and more
    • Implement valuation models and trading strategies
  • Build pricing algorithms around the Black-Sholesmodel, and also using the binomial and differential equations methods
    • Run quantitative finance algorithms using linear algebra techniques
  • Recognize and apply the most common design patterns used in options trading

Who This Book Is For

Professional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development. 

 


Authors and Affiliations

  • Seattle, USA

    Carlos Oliveira

About the author

Carlos Oliveira works in the area of quantitative finance, with more than ten years of experience in creating scientific and financial models in C++. During his career, Carlos has developed several large-scale applications for financial companies such as Bloomberg LP and F-Squared Investments. Carlos Oliveira obtained a PhD in operations research and systems engineering from the University of Florida, an MSc in computer science from UFC (Brazil), and a BSc in computer science from UECE (Brazil). He has also performed academic research in the field of combinatorial optimization, with applications in diverse areas such as finance, telecommunications, computational biology, and logistics. Carlos has written more than 30 academic papers on optimization, and authored three books, including Practical C++ Financial Programming (Apress, 2015).


For more, visit see@olivecarl on Twitter.


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