Skip to content
Register Sign in Wishlist

Numerical Methods in Finance with C++

Part of Mastering Mathematical Finance

  • Date Published: September 2012
  • availability: In stock
  • format: Paperback
  • isbn: 9780521177160


Add to wishlist

Other available formats:
Hardback, eBook

Looking for an examination copy?

This title is not currently available for examination. However, if you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact providing details of the course you are teaching.

Product filter button
About the Authors
  • Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear 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. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

    • Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
    • The mathematics is rigorous but also motivated, so readers see how to apply what they learn
    • Online material includes solutions to exercises and C++ code
    Read more

    Reviews & endorsements

    "This book leads the reader directly into the heart of C++ programming technique without too much fuss. And in so doing, the reader also learns some very important and fundamental methods in options pricing. I highly recommend this little gem of a book."
    Professor Michael K. Ong, IIT Stuart School of Business

    "I find the monograph to be an excellent integration of the object-oriented concepts of C++ and the classical numerical techniques used in quantitative finance. Throughout the book, there is an introduction to the numerical technique to be used, along with the need for such a method from the prospective of financial mathematics. After this discussion, the C++ source code that implements the technique is not only given but also annotated to highlight or to clarify reasons for the use of certain object-oriented constructs. As the authors comment, there are some source files which are not listed but are available from the publisher's web site.

    The monograph is an exceptional book for demonstrating the implementation of the various aspects of C++ in a very concrete fashion. There is substance given to C++ concepts that are introduced in basic programming courses but seldom framed in a realistic setting. The reader, however, should have some familiarity with C++ and mathematical finance, prior to reading the monograph. The book is not intended to be an introduction to either object-oriented C++ or mathematical finance. With such a background, the style and the content of the book make for an informative experience."
    Professor Sherman Wong, City University of New York

    See more reviews

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity


    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?


    Product details

    • Date Published: September 2012
    • format: Paperback
    • isbn: 9780521177160
    • length: 175 pages
    • dimensions: 227 x 152 x 11 mm
    • weight: 0.32kg
    • contains: 15 b/w illus. 45 exercises
    • availability: In stock
  • Table of Contents

    1. Binomial pricer
    2. Binomial pricer revisited
    3. American options
    4. Nonlinear solvers
    5. Monte Carlo methods
    6. Finite difference methods

  • Resources for

    Numerical Methods in Finance with C++

    Maciej J. Capiński, Tomasz Zastawniak

    General Resources

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to instructors whose faculty status has been verified. To gain access to locked resources, instructors should sign in to or register for a Cambridge user account.

    Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other instructors may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

    Supplementary resources are subject to copyright. Instructors are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

    If you are having problems accessing these resources please contact

  • Instructors have used or reviewed this title for the following courses

    • Algorithms in Computational Finanace
    • C++ for Financial Engineering
    • Mathematical Finance ll
  • Authors

    Maciej J. Capiński, AGH University of Science and Technology, Krakow
    Maciej J. Capiński is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer assisted proofs in dynamical systems and celestial mechanics. He has authored eight research publications and supervised over thirty MSc dissertations, mostly in mathematical finance.

    Tomasz Zastawniak, University of York
    Tomasz Zastawniak holds the Chair of Mathematical Finance at the University of York. He has authored about fifty research publications and four books. He has supervised four PhD dissertations and around eighty MSc dissertations in mathematical finance.

Sign In

Please sign in to access your account


Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner Please see the permission section of the catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.


Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

Please fill in the required fields in your feedback submission.