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This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: <ul> <li>C++ fundamentals and object-oriented thinking in QF</li> <li>Advanced object-oriented features such as inheritance and polymorphism</li> <li>Template programming and the Standard Template Library (STL)</li> <li>An introduction to GOF design patterns and their applications in QF Applications</li> </ul> <p>The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.</p> <p>This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.</p> <p>This book is the perfect companion to Daniel J. Duffy’s book <i>Financial Instrument Pricing using C++</i> (Wiley 2004, 0470855096 / 9780470021620)</p>