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 derivatives. 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.
What You Will Learn 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. Who This Book is for: Quantitative
developers financial engineers traders analysts and graduates students using C++ QuantLib
Boost and robust tools to price hedge and manage risk for complex financial instruments—and
for software engineers aiming to bridge theory and industry practice in quantitative finance.
Optional prerequisite: Mastering Quantitative Finance with Modern C++: Foundations Derivatives
and Computational Methods for readers who want to build a solid foundation before tackling
the advanced models and projects in this book.
