C++

Quantitative Finance

Quantitative Finance

Schlögl, E. (2013) Quantitative Finance: An Object-oriented Approach in C++, 1st edition, Chapman & Hall/CRC Financial Mathematics Series. Taylor and Francis, Florida, USA.

The book Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++.

Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field.

C++ code

Code from Schlögl, E. (2013) Quantitative Finance: An Object-oriented Approach in C++, 1st edition, Chapman & Hall/CRC Financial Mathematics Series. Taylor and Francis, Florida, USA.

This page gives an overview of and download links for the C++ code discussed in the book Quantitative Finance: An Object-Oriented Approach in C++, including additional C++ source files and examples. Please note that the code made available on this site is provided under a Modified BSD License (other licenses may apply for code on external sites).