Free PDF Advanced Quantitative Finance with C++, by Alonso Peña
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Advanced Quantitative Finance with C++, by Alonso Peña
Free PDF Advanced Quantitative Finance with C++, by Alonso Peña
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Create and implement mathematical models in C++ using Quantitative FinanceAbout This Book
- Describes the key mathematical models used for price equity, currency, interest rates, and credit derivatives
- The complex models are explained step-by-step along with a flow chart of every implementation
- Illustrates each asset class with fully solved C++ examples, both basic and advanced, that support and complement the text
If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level.
What You Will Learn- Solve complex pricing problems in financial derivatives using a structured approach with the Bento Box template
- Explore some key numerical methods including binomial trees, finite differences, and Monte Carlo simulation
- Develop your understanding of equity, forex, interest rate, and credit derivatives through concrete examples
- Implement simple and complex derivative instruments in C++
- Discover the most important mathematical models used in quantitative finance today to price derivative instruments
- Effectively Incorporate object oriented programming (OOP) principles into the code
This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives.
The models used include the Black-Scholes and Garman-Kohlhagen models, the LIBOR market model, structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++.
- Sales Rank: #1571491 in Books
- Published on: 2014-05-19
- Released on: 2014-06-25
- Original language: English
- Number of items: 1
- Dimensions: 9.25" h x .28" w x 7.50" l, .50 pounds
- Binding: Paperback
- 101 pages
About the Author
Alonso Pena, Ph.D.
Alonso Pena, Ph.D. is an SDA Professor at the SDA Bocconi School of Management in Milan. He has worked as a quantitative analyst in the structured products group for Thomson Reuters Risk and for Unicredit Group in London and Milan. He holds a Ph.D. degree from the University of Cambridge on Finite Element Analysis and the Certificate in Quantitative Finance (CQF) from 7city Learning, the U.K. He has lectured and supervised graduate and post-graduate students from the universities of Oxford, Cambridge, Bocconi, Bergamo, Pavia, Castellanza, and the Politecnico di Milano. His area of expertise is the pricing of financial derivatives, in particular, structured products. He has publications in the fields of Quantitative Finance, applied mathematics, neuroscience, and the history of science. He has been awarded the Robert J. Melosh Medal—first prize for the best student paper on Finite Element Analysis, Duke University, USA; and the Rouse Ball Travelling Studentship in Mathematics, Trinity College, Cambridge. He has been to the Santa Fe Institute, USA, to study complex systems in social sciences. His publications include the following: The One Factor Libor Market Model Using Monte Carlo Simulation: An Empirical Investigation On the Role of Behavioral Finance in the Pricing of Financial Derivatives: The Case of the S&P 500 Option Pricing with Radial Basis Functions: A Tutorial Application of extrapolation processes to the finite element method On the Role of Mathematical Biology in Contemporary Historiography He is currently working as a tutor for CQF (Fitch Learning) and a visiting faculty for the Indian Institute for Quantitative Finance, Mumbai. He lives in Italy with his wife Marcella, his daughters Francesca and Isabel, and his son Marco.
Most helpful customer reviews
1 of 1 people found the following review helpful.
Needs thorough upgrade - not value for money
By Indranath Mitra
The book arrived in very good condition and one day before the seller promised. Unfortunately that's all that I can say was good about buying this book.
Apart from Preface, Index, Bibliography and Appendix, the book has only 96 pages. Within that, following topics are covered:
1. Financial Models - Derivatives of equity, exchange rate, interest rate and credit rating
2. Numerical Methods - Monte Carlo, Finite Difference Method and Binomial Tree
3. Code - covers models in #1 solved with MC and FDM only.
So the content itself is pretty light. But even within that, other issues persist:
1. References are a big issue. For example, Euler-Murayama discretization model is mentioned in multiple derivations, without mentioning any reference for understanding what is it or study it further. Another example - Vasicek model is mentioned during IRS without reference to any text.
2. There is no explanation or reason provided as to why a certain numerical model (like MC) is preferred over others (like FDM)
3. Typos exist in multiple pages
4. Fonts for formulas are inconsistent in size. They become large and then come back to normal size. Examples page 23, 24, 47, 90
5. For some concepts explanations are provided a few pages AFTER the concepts are introduced.
If this is to be regarded as an ADVANCED book in QF, then the above mentioned have to be corrected and the content enriched to make it value for money.
1 of 1 people found the following review helpful.
Don't buy it
By Kinderchocolate
I don't know why this book has many positive reviews... I brought the book but it turned out a waste of money. The book is NOT "advanced". It covers some not-so-detailed simple pricing with some silly C++ coding.
0 of 0 people found the following review helpful.
Quant programming explained the way it should be
By Kemp
Love the Bento box approach, simply genius. I have found uses for this model is other aspects of my work. The quality of c++ code could be better. But all in all this is a must have to programmers looking to make an impression in the quant world.
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