Looking for a good quant-oriented c++ book.

[ELoken]

Hi,

I'm about to enter a graduate course in mathematical finance and I'm looking for a book about C++ applied to this field. I have found a few on the web, but would really appreciate some reviews from any of you.

Can anyone help me?

[MacksonOgu]

If you've done a bit of C++ programming already, then I would recommend 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi. It's written with the assumption you know C++ already and so gives you design patterns and conventions within the field. I think I might have a pdf version if you want to have a glance at it before you buy it yourself. I think he also has a quant finacne book to complement it.

I've read the Java version of 'Introduction to C++ for Financial Engineers' by Daniel Duffy and it's very very applicable to the field. Obviously the book I read was written by a different writer but since they are part of the same series, I'm guessing they follow the same structure which is:
- get you familiar with the C++ features using basic finance related examples
-then, look at things in reverse, solving real world quant problems using those features with design pattens.

Also, 'Principles of Quantitative Devlopment' by Thulasidas is good for understanding trading infrastructure from different view points i.e quant, trader, risk management, software developer. Includes a working C++ pricing tool.

Truth be told, for mathematical finance, it's really having a grasp of C++ syntax and features. Your not doing any low level performance tuning stuff just know the cmaths.h library. Look into python too.

On the other hand, if you haven't really done a lot programming in C++ go for 'C++ Pocket Reference' book from O'Reilly. It's really just syntax fundamentals but saves you the time you would have spent googling something basic you've forgotten.

Hope that helps.

Wanted to do a mathematical finance masters too but couldn't afford it. Fees are crazy!
Good luck.

[ELoken]

Thanks!

[metl wolf]

'C++ for dummies'? or 'C++ all-in-one-desktop-reference for dummies'? good C++ books in my opinion, if you havent done much C++ before

[z05DSL3A]

C++ Design Patterns and Derivatives Pricing
by Mark S. Joshi

Might be worth a look.

Edit:

ELoken wrote:

...in mathematical finance and I'm looking for a book about C++ applied to this field.

[king214]

'C++ for dummies'? or 'C++ all-in-one-desktop-reference for dummies'? good C++ books in my opinion, if you havent done much C++ before

I would reccommend against this...


I find that most books with titles such as these usally are not the best quality they could be.

[ELoken]

Thanks guys!

I'm learning c++ from one of the more basic books now, but reckon I'll need a book more specifically about quant programming later.

Will definately check out the Mark Joshi book! :)

Regards,
Loken

[npanagakis]

If i was you I would consider "C++ without fear" it is really helpful and is about 30 dollars.