C++ for Financial Mathematics

This book simultaneously introduces C++ programming techniques and numerical techniques for derivative pricing and risk management. The techniques covered include Monte Carlo pricing, finite difference methods, simulations and risk calculations. These numerical methods are used to develop an understanding and intuition for financial mathematics without requiring any sophisticated mathematical machinery. The book covers object oriented programming in C++, C-style programming with pointers, an introduction to both templates and multi-threaded programming. The book also covers important software development best practices such as unit testing, source control and continuous integration.

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 banks such as HSBC, Royal Bank of Scotland and Barclays Capital. He has also worked for ION Trading, Dresdner Kleinwort Wasserstein and was an executive director at Goldman Sachs.