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Advanced quantitative finance with m...

De La Rosa, Aaron.

Advanced quantitative finance with modern C++interest rate modeling and advanced derivatives /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Advanced quantitative finance with modern C++by Aaron De La Rosa.
Reminder of title:	interest rate modeling and advanced derivatives /
Author:	De La Rosa, Aaron.
Published:	Berkeley, CA :Apress :2025.
Description:	xlvii, 1051 p. :ill., digital ;24 cm.
Contained By:	Springer Nature eBook
Subject:	C++ (Computer program language)
Online resource:	https://doi.org/10.1007/979-8-8688-2059-5
ISBN:	9798868820595$q(electronic bk.)

Advanced quantitative finance with modern C++interest rate modeling and advanced derivatives /
De La Rosa, Aaron.

Advanced quantitative finance with modern C++interest rate modeling and advanced derivatives /[electronic resource] :by Aaron De La Rosa. - Berkeley, CA :Apress :2025. - xlvii, 1051 p. :ill., digital ;24 cm.

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.

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.

ISBN: 9798868820595$q(electronic bk.)

Standard No.: 10.1007/979-8-8688-2059-5doiSubjects--Topical Terms:

181958
C++ (Computer program language)

LC Class. No.: QA76.73.C153

Dewey Class. No.: 005.133

Advanced quantitative finance with modern C++interest rate modeling and advanced derivatives /
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505 0 $a 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.
520 $a 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.
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