Quantitative finance: an object-oriented approach in C++

摘要

I should state at the outset that I am not a "quant." My interest in quantitative finance is purely recreational rather than professional. I have been fascinated by the world of quantitative finance ever since I read Emanuel Derman's interesting but somewhat dry account of his life within this sector. However, one of the problems that I faced, as I'm sure many do, is that although the theory underpinning the models and methods used within quantitative finance is rife, a description of the practicalities of actually implementing such models is often lacking. This book aims to alleviate this problem by providing not only the underlying theory, but also implementation details in C++. Even a cursory glance at this book reveals that it is a detailed and comprehensive work that is drawn from years of expertise. The book seeks to provide a detailed overview of the key principles in quantitative finance from both a theoretical and practical perspective. This dual approach is one of the main features that sets this book apart. Schlogl seeks to bridge the gap between theory and practice-in particular, the practical implementation of common algorithms in C++.