Quantitative Finance

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.

Jump to Book Chapters, Conference Proceedings or Working Papers. Peer-reviewed journal articles Gellert, K. & Schlögl, E. 2021, ‘Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation’, Risks, 9(12). View/Download from: Publisher’s site (open access)/Working paper version on SSRN Click arrow to view description This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters.

Erik Schlögl has over 25 years of experience in providing consulting services in areas of quantitative finance, financial risk management and the valuation and risk assessment of structured financial products and derivative securities. His projects converted cutting-edge research into practical, value-adding solutions for banks, software developers, insurers and energy utilities. In addition, his expert testimony has been sought in numerous court cases. Examples of past projects include: Model implementation and software development.

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).