Intro to C++ for Quant Finance

[Quasar Chunawala]

Hi all,

I ordered Introduction to C++ for Financial Engineers and I am enjoying reading it. The companion book Financial Instrument pricing using C++ is not available at Amazon India. I am reading an elementary book on numerical methods alongside. The idea is to finish the book and implement a few numerical algorithms, like spline interpolation and a basic PDE solver, the object-oriented way in two months of time.

This is my first C++ program - a basic implementation of gauss elimination with back substitution.

I want to begin a rigorous study of probability(basic probability and the Williams book), once I have these fundamentals in place.

If anybody has any suggestions on other companion books alongside (e.g. a book on numerical methods with quant finance in mind), I'd be glad to know.

Cheers!
Quasar.

 

[Daniel Duffy]

A good book IMO is Dahlquist and Bjorck Numerical Methods.

For PDE models this algo is very popular.

Tridiagonal matrix algorithm - Wikipedia

Regarding Financial Instrument pricing using C++ I hope to have the second edition out by end 2017.

 

[Quasar Chunawala]

A good book IMO is Dahlquist and Bjorck Numerical Methods.

For PDE models this algo is very popular.

Tridiagonal matrix algorithm - Wikipedia

Regarding Financial Instrument pricing using C++ I hope to have the second edition out by end 2017.

That, Germund Dahlquist built the first random number generator for drawing prizes of Swedish Bonds is such a cool fact!

 

[Daniel Duffy]

GD was a very friendly man.

 

[Daniel Duffy]

https://www.quantnet.com/courses/

And maybe some attention to English grammar.

 

[pingu]

how to learn financial science C + +, I am a computer professional, not too understand the financial professional..........

Financial Science? I think you drank the Kool-aid too fast.

 

[Daniel Duffy]

what's C + + ?

 

[ExSan]

what's C + + ?

D

 

[Daniel Duffy]

D

You are probably thinking of the new generalized operator overloading in C++ 2525

http://www.stroustrup.com/whitespace98.pdf



Thus whitespace between two C-style string literals is interpreted as concatenation. The facility was
missing in K&R C, introduced into ANSI C, and adopted by C++ in the ARM (Ellis and Stroustrup: "The
Annotated C++ Reference Manual, " Addison-Wesley 1989).