Chapter 1, What is Quantitative Finance?, gives a brief introduction to Quantitative Finance, delimits the subject to option pricing with C++, and describes the structure of the book.

Chapter 2, Mathematical Models, offers a summary of the fundamental models used to price derivatives in modern financial markets.

Chapter 3, Numerical Methods, reviews the three main families of numerical methods used to solve the mathematical models described in the Chapter 2, Mathematical Models.

Chapter 4, Equity Derivatives in C++, demonstrates the concrete pricing of equity derivatives using C++ in a basic contract (European Call/Put), and an advanced contract (multi-asset options).

Chapter 5, Foreign Exchange Derivatives with C++, illustrates the pricing of foreign exchange derivatives using C++ in a basic contract (continuous barrier) and an advanced contract (terminal barrier).

Chapter 6, Interest Rate Derivatives with C++, shows the pricing of interest rate derivatives using C++ in a basic contract and an advanced Interest Rate Swap (IRS).

Chapter 7, Credit Derivatives with C++, demonstrates the concrete pricing of credit derivatives using C++ in a basic contract (Merton model) and an advanced contract (Credit Default Swap (CDS)).

Appendix A, C++ Numerical Libraries for Option Pricing, gives a short guide to the various numerical libraries that can be used for option pricing.

Appendix B, References, lists all the bibliographic references used throughout the chapters of this book.

In order to implement the pricing algorithms described in this book, you will need some basic knowledge of C++ and Integrated Development Environment (IDE) of your choice. I have used Code:Blocks, which is a free C, C++, and Fortran IDE, and is highly extensible and fully configurable. You can download it from http://www.codeblocks.org/. You will also need a C++ compiler. I have used MinGW, which is a part of the GNU Compiler Collection (GCC), including C, C++, ADA, and Fortran compilers. This compiler can be downloaded from http://www.mingw.org/.

This book is ideal for quantitative analysts, risk managers, actuaries, and other professionals working in the field of Quantitative Finance who want a quick reference or a hands-on introduction to pricing of financial derivatives. Postgraduate, MSc, and MBA students following university courses on derivatives in corporate finance and/or risk management will also benefit from this book. It could be used effectively by advanced undergraduate students who are interested in understanding these fascinating financial instruments. A basic familiarity with programming concepts, C++ programming language, and undergraduate-level calculus is required.

In this book, you will find a number of styles of text that distinguish among different kinds of information. Here are some examples of these styles, and an explanation of their meaning.

Code words in text, database table names, folder names, filenames, file extensions, pathnames, dummy URLs, user input, and Twitter handles are shown as follows: "An important feature of this algorithm is the function in code snippet 2 (random.cpp)."

A block of code is set as follows:

    for (int i=0; i < N; i++)
    {
      double epsilon = SampleBoxMuller();  // get Gaussian draw
      S[i+1] = S[i]*(1+r*dt+sigma*sqrt(dt)*epsilon);
    }

New terms and important words are shown in bold. Words that you see on the screen, in menus or dialog boxes for example, appear in the text like this: "In this book, all the programs are implemented with the newest standard C++11 using Code::Blocks (http://www.codeblocks.org) and MinGW (http://www.mingw.org)".

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