LEADER 04709nam 22006255 450 001 9911049221703321 005 20260102122956.0 010 $a979-88-6882-059-5 024 7 $a10.1007/979-8-8688-2059-5 035 $a(CKB)44770035600041 035 $a(MiAaPQ)EBC32470632 035 $a(Au-PeEL)EBL32470632 035 $a(CaSebORM)9798868820595 035 $a(OCoLC)1568048413 035 $a(OCoLC-P)1568048413 035 $a(DE-He213)979-8-8688-2059-5 035 $a(OCoLC)1565427563 035 $a(EXLCZ)9944770035600041 100 $a20260102d2025 u| 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aAdvanced Quantitative Finance with Modern C++ $eInterest Rate Modeling and Advanced Derivatives /$fby Aaron De La Rosa 205 $a1st ed. 2025. 210 1$aBerkeley, CA :$cApress :$cImprint: Apress,$d2025. 215 $a1 online resource (759 pages) 225 0 $aProfessional and Applied Computing Series 300 $aDescription based upon print version of record. 311 08$a979-88-6882-058-8 327 $aSingle 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. 330 $aFrom the elegance of the Black?Scholes equation to the complexity of multi-factor interest rate models and hybrid derivatives, this book is your comprehensive guide to quantitative finance, complete with 15+ advanced C++ projects using QuantLib and Boost. You?ll move seamlessly from mathematical foundations to real-world implementation, building a professional-grade toolkit for pricing, risk analysis, and calibration. Inside, you will learn core option pricing methods, master single-and multi-factor interest rate models, and construct and calibrate trees and lattices for advanced derivates. You will also explore cutting edge products: exotic multi-asset options, hybrid derivatives, credit instruments, and cross-currency swaps. Packed with practical source code, step-by-step calibrations, and performance-tuned Boost integration, this book bridges the gap between academic finance and production-grade quant development. Whether you?re a quant developer, financial engineer, or an advanced student, you?ll gain the skills to design, implement, and deploy derivatives pricing models ready for the trading floor. You Will: Understand the mathematics behind Black?Scholes, Vasicek, Hull?White, CIR, BDT, Black?Karasinski, and other core models. Apply finite difference schemes, trinomial trees, and Monte Carlo simulations for derivative pricing. Build and value swaps, swaptions, FRAs, bonds, callable/convertible debt, and multi-curve term structures. Implement barrier, multi-asset, hybrid, and structured products in C++. Model credit default swaps, cross-currency swaps, and total return structures. Use QuantLib and Boost to create production-grade pricing engines and calibration tools. Employ Gaussian models, market models, and global optimizers for fitting market data. Integrate code into professional workflows, ensuring speed, accuracy, and maintainability. 410 0$aProfessional and Applied Computing Series 606 $aC++ (Computer program language) 606 $aSocial sciences$xMathematics 606 $aMathematics$xData processing 606 $aC++ 606 $aMathematics in Business, Economics and Finance 606 $aComputational Mathematics and Numerical Analysis 615 0$aC++ (Computer program language). 615 0$aSocial sciences$xMathematics. 615 0$aMathematics$xData processing. 615 14$aC++. 615 24$aMathematics in Business, Economics and Finance. 615 24$aComputational Mathematics and Numerical Analysis. 676 $a005.13/3 700 $aDe La Rosa$b Aaron$01885829 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9911049221703321 996 $aAdvanced Quantitative Finance with Modern C++$94521941 997 $aUNINA