Advanced Quantitative Finance with Modern C++ : Interest Rate Modeling and Advanced Derivatives / by Aaron De La Rosa.

Format:

Book

Author/Creator:

De La Rosa, Aaron.

Series:

Professional and Applied Computing Series

Language:

English

Subjects (All):

C++ (Computer program language).

Finance--Mathematical models.

Finance.

Business mathematics.

Physical Description:

1 online resource (759 pages)

Edition:

1st ed. 2025.

Place of Publication:

Berkeley, CA : Apress : Imprint: Apress, 2025.

Summary:

From the elegance of the Black–Scholes equation to the complexity of multi-factor interest rate models and hybrid derivatives, this book is your comprehensive guide to quantitative finance, complete with 15+ advanced C++ projects using QuantLib and Boost. You’ll move seamlessly from mathematical foundations to real-world implementation, building a professional-grade toolkit for pricing, risk analysis, and calibration. Inside, you will learn core option pricing methods, master single-and multi-factor interest rate models, and construct and calibrate trees and lattices for advanced derivates. You will also explore cutting edge products: exotic multi-asset options, hybrid derivatives, credit instruments, and cross-currency swaps. Packed with practical source code, step-by-step calibrations, and performance-tuned Boost integration, this book bridges the gap between academic finance and production-grade quant development. Whether you’re a quant developer, financial engineer, or an advanced student, you’ll gain the skills to design, implement, and deploy derivatives pricing models ready for the trading floor. You Will: Understand the mathematics behind Black–Scholes, Vasicek, Hull–White, CIR, BDT, Black–Karasinski, and other core models. Apply finite difference schemes, trinomial trees, and Monte Carlo simulations for derivative pricing. Build and value swaps, swaptions, FRAs, bonds, callable/convertible debt, and multi-curve term structures. Implement barrier, multi-asset, hybrid, and structured products in C++. Model credit default swaps, cross-currency swaps, and total return structures. Use QuantLib and Boost to create production-grade pricing engines and calibration tools. Employ Gaussian models, market models, and global optimizers for fitting market data. Integrate code into professional workflows, ensuring speed, accuracy, and maintainability.

Contents:

Single Factor Black-Scholes with Finite Difference Methods,- 2. Random Number Generation

3. Vasicek and Hull-White Single-Factor Models

4. Extended One-Factor Models — Hull-White and Black-Karasinski

5. CIR, Black-Derman-Toy, and Interest Rate Swaps

6. BDT and Hull-White Tree Construction

7. Black-Karasinski Trees and Swap Applications

8. Two-Factor Gaussian and Hull-White Extensions

9. Libor Market Models and Foundational HJM

10. HJM Extensions, BGM, and Advanced LMM

11. Bermudan Swaptions and Straddles

12. Exotic Multi-Asset, Barrier, and Hybrid Options

13. Credit Derivatives and Currency Instruments

14. Total Return, Trigger, and Cross-Currency Swaps

15. Other Exotic and Hybrid Derivatives.

Notes:

Description based upon print version of record.

Description based on publisher supplied metadata and other sources.

ISBN:

979-88-6882-059-5

OCLC:

1568048413