Financial Modeling Using C++
A detailed look at developing real-world financial models using C++
This book, designed for self-study, reference, and classroom use, outlines a comprehensive approach to creating both simple and advanced financial models using C++. Author and modeling expert Chandan Sengupta covers programming, the C++ language, and financial modeling from the ground up-assuming no prior knowledge in these areas-and shows through numerous examples how to combine these skills with financial theory and mathematics to develop practical financial models. Since C++ is the computer language used most often to develop large-scale financial models and systems, readers will find this work-which includes a CD-ROM containing the models and codes from the book-an essential asset in their current modeling endeavors.
Chandan Sengupta (White Plains, NY) teaches finance in the MBA program at the Fordham University Graduate School of Business. He is also the author of Financial Modeling Using Excel and VBA (0-471-26768-6).
Table of Contents
Chapter 1. Introduction.
Part I. Essential C++.
Chapter 2. Overview of Programming and C++.
Chapter 3. A First Look at C++.
Chapter 4. Variables, Constants, and Arrays.
Chapter 5. Operators.
Chapter 6. Inputs and Outputs.
Chapter 7. Program Flow Control: Branching.
Chapter 8. Program Flow Control: Looping.
Chapter 9. Functions.
Chapter 10. Strings.
Chapter 11. Pointers.
Chapter 12. Debugging.
Part II. Modeling Using Essential C++.
Chapter 13. The Model Development Process.
Chapter 14. Time Value of Money.
Chapter 15. Options and the Black-Scholes Model.
Chapter 16. Binomial Trees.
Chapter 17. Simulations.
Part III. Modeling Using Advanced C++.
Chapter 18. Overview of Advanced C++.
Chapter 19. Class and Encapsulation.
Chapter 20. Inheritance.
Chapter 21. Polymorphism.
Chapter 22. Templates and Vectors.
Appendix A. C++ Keywords.
Appendix B. Selected Standard Library Functions.