Numerical Methods in Finance with C++

Tomasz Zastawniak, Maciej J. Capiński

Research output: Book/ReportBook


Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
Original languageEnglish
PublisherCambridge University Press
Number of pages175
ISBN (Electronic)9781107003712
ISBN (Print)1107003717, 9780521177160
Publication statusPublished - Jul 2012

Publication series

NameMastering Mathematical Finance
PublisherCambridge University Press

Cite this