C++ for Financial Mathematics

John Armstrong is a Lecturer in financial mathematics, probability and statistics at King’s College London. He has 15 years experience in the financial industry working as a software architect. He co-founded Yolus and designed their innovative risk management system which was adopted by numerous major banks. He has also worked for ION Trading, Dresdner Kleinwort Wasserstein and was an executive director at Goldman Sachs.

"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)

• Introduction. Getting Started. Basic Data Types and Operators. Functions. Flow of Control. Working with Multiple Files. Unit Testing. Using C++ Classes. User-Defined Types. Monte Carlo Pricing in C++. Interfaces. Arrays, Strings, and Pointers. More Sophisticated Classes. The Portfolio Class. Delta Hedging. Debugging and Development ToolsA Matrix Class. An Overview of Templates. The Standard Template Library. Function Objects and Lambda Functions. Threads. Next Steps. Appendix: Risk-Neutral Pricing