From 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 derivatives. 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.

What You Will Learn

• 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++.

  Autorentext

Aaron De la Rosa is a Fixed Income Quantitative Researcher and C++ Quant Developer specializing in the design and implementation of advanced models for derivative pricing and risk management. With a strong focus on option valuation, particularly exotic and path-dependent instruments, Aaron bridges the gap between theoretical finance and real-world application through high-performance C++ development.

He has extensive experience leveraging QuantLib, the industry-standard open-source library for quantitative finance, to build scalable and production-level solutions in fixed income, structured products, and derivative pricing. His work spans the full spectrum of financial engineering from modeling stochastic processes and volatility surfaces to constructing efficient numerical solvers such as finite difference methods, Monte Carlo simulations, and lattice-based trees.

Aaron s passion lies in translating complex financial mathematics into robust, maintainable C++ code. His contributions are guided by modern software engineering principles, with an emphasis on clean architecture, reusable components, and computational efficiency. His expertise is not only technical but also deeply grounded in financial theory, enabling him to craft solutions that are both mathematically sound and software-engineered for performance.

When he s not developing quantitative models or enhancing pricing frameworks, Aaron actively contributes to the financial developer community and explores new frontiers in interest rate modeling, credit derivatives, and modern C++ design.

Inhalt

1. Single 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.