Numerical methods in finance with C++ / Maciej J. Capinski and Tomasz Zastawniak.

Includes index.

Preface;
1. Binomial pricer;
2. Binomial pricer revisited;
3. American options;
4. Nonlinear solvers;
5. Monte Carlo methods;
6. Finite difference methods;
Index.

This book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.