This volume of the ‘Mastering Mathematical Finance’ series is all about numerical methods combined with C++ programming skills, driven by concrete computational problems in quantitative finance. It begins with straightforward option pricing on binomial trees, and gradually progresses towards more advanced topics, including non-linear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem.

Familiarity with C++ is not a prerequisite. The exposition starts from scratch in that respect. Nonetheless, the learning curve is steep, and some, if only limited, experience of computer programming, in any language, might be helpful. In terms of quantitative finance background, working knowledge of the binomial and Black–Scholes models of the market is suffcient. Prior knowledge of numerical methods is not necessary, though it would give some advantage.

This book takes an accelerated route through C++, picking and choosing whatever programming language tools are required to tackle the job in hand. It is not a substitute for a systematic C++ manual. We recommend that the reader should frequently consult such a manual (or Internet resources) for reference about the finer points of the various C++ constructs.

The emphasis is on solving and implementing numerical problems of increasing complexity that arise in finance. Of equal importance is code design that reflects the structure of such problems, facilitates future extensions and encourages collaboration between programmers.