Review of Advanced Quantitative Finance with C++

Sunitha P. from Packt Publishing provided me with an e-book copy of “Advanced Quantitative Finance with C++” by Alonso Pena PhD. The book takes a do it yourself approach to pricing different types of options.

  • Chapter 1 “What is Quantitative Finance?” introduces the Bento Box consisting of contract description, theoretical model, numerical method and implementation. In my opinion a discussion/evaluation section should be added to the Bento Box. This section should cover assumptions, discuss error sources, accuracy and best way to implement this knowledge in the real world.
  • Chapter 2 “Mathematical Models” is heavy on mathematics and discusses various theoretical models.
  • Chapter 3 “Numerical Methods” covers binomial trees, Monte Carlo simulation and finite difference methods. The author gives tips on when each type of method is most effective.
  • Chapter 4 “Equity Derivatives in C++” is about equity derivatives also known as stock options with related C++ code.
  • Chapter 5 “Foreign Exchange Derivatives with C++” gives an overview of FX options including plain vanilla and barrier options.
  • Chapter 6 “Interest Rate Derivatives with C++” solves interest rate pricing problems.
  • Chapter 7 “Credit Derivatives with C++” gives examples of credit derivatives using the Bento Box methodology.
  • The appendices mention useful libraries for people who don’t want to take the DIY route and financial literature.

“Advanced Quantitative Finance with C++” seems to be a great book meant for people who want to learn how to implement pricing models from scratch. It takes more of a theoretical than empirical approach. In my opinion it would have been great to know, how well the models would perform with real data.

By the author of NumPy Beginner's Guide, NumPy Cookbook and Instant Pygame. If you enjoyed this post, please consider leaving a comment or subscribing to the RSS feed to have future articles delivered to your feed reader.
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