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Options and Derivatives Programming in C++23: Algorithms and Programming Techniques for the Financial Industry by Carlos Oliveira

Options and Derivatives Programming in C++23: Algorithms and Programming Techniques for the Financial Industry

by Carlos Oliveira
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Book cover type: Paperback
  • ISBN13: 9781484298268
  • Binding: Paperback
  • Subject: Computer Science and Information Technology
  • Publisher: Springer Verlag
  • Publisher Imprint: Apress
  • Publication Date:
  • Pages: 299
  • Original Price: EUR 54.99
  • Language: English
  • Edition: N/A
  • Item Weight: 563 grams
  • BISAC Subject(s): Languages / General, Computer Science, and Programming / Algorithms

From the Back Cover

This book is a hands-on guide for programmers who want to learn how C++ is used to develop solutions for options and derivatives trading in the financial industry. It explores the main algorithms and programming techniques used in implementing systems and solutions for trading options and derivatives. This updated edition will bring forward new advances in C++ software language and libraries, with a particular focus on the new C++23 standard.

The book starts by covering C++ language features that are frequently used to write financial software for options and derivatives. These features include the STL (standard template library), generic templates, functional programming, and support for numerical code. Examples include additional support for lambda functions with simplified syntax, improvements in automatic type detection for templates, custom literals, modules, constant expressions, and improved initialization strategies for C++ objects. This book also provides how-to examples that cover all the major tools and concepts used to build working solutions for quantitative finance. It discusses how to create bug-free and efficient applications, leveraging the knowledge of object-oriented and template-based programming. It has two new chapters covering backtesting option strategies and processing financial data.. It introduces the topics covered in the book in a logical and structured way, with lots of examples that will bring them to life.

Options and Derivatives Programming in C++23 has been written with the goal of reaching readers who are looking for a concise, algorithms-based book that provides basic information through well-targeted examples and ready to use solutions.

You will:

  • Gain insight into the fundamental challenges of the options and derivatives market
  • Master the features of the C++ language used in quantitative financial programming
  • Understand quantitative finance algorithms for options and derivatives
  • Build pricing algorithms around the Black-Scholes model, and use binomial and differential equations methods

Carlos Oliveira works in the area of data science, with more than 15 years of experience in creating scientific, quantitative and financial models with C++. During his career, Carlos has developed several large-scale applications for companies such as Amazon and Bloomberg LP. Carlos Oliveira obtained a PhD in operations research and systems engineering from the University of Florida, an MSc in computer science from UFC (Brazil), and a BSc in computer science from UECE (Brazil). He has also performed academic research in the field of combinatorial optimization, with applications in diverse areas such as finance, telecommunications, computational biology, and logistics. Carlos has written more than 30 academic papers on optimization, and authored four books, including Practical C++20 Financial Programming (Apress, 2020).

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