Financial Numerical Recipes in C++ introduces the Quant approach to this programming language

Financial Numerical Recipes in C++ introduces the Quant approach to this programming language

This books put out by Bernt Arne Ødegaard is a great book for a number of reasons. First, the book is free online at http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/ or I am sure you can find a downloadable version somewhere. As for the material, it was so good to see like Mark Joshi’s book how the two concepts of Quant (financial engineering) and C++ programming. Both concepts are introduces in this book but at an intermediate level. You must have a fairly advance knowledge in both.
Let’s talk about the material now. We get the usual programming concepts in C++. The other bonus in this book is how Bernt breaks down the quant concepts of each algorithms and reasons behind them. He covers all items like interpolation and how to build inheritance into your base classes.
He then goes into futures contracts. He does a very good job in explaining bonds, binomial trees (the best I have seen yet of all books), option pricing, sections on simulators, and more advance concepts like Asian options. Look backs, etc.

Some of the appendixes are critical in explain normal distribution concepts including complicate multivariates and a whole slew of end to end on this topic.
I must stress what I find as a great one two punch is use this book with Mark Joshi’s I have done a recent review on. I mean between both books, you should get a fantastic way to build your confidence I merging the complexities of quant models and algorithms with C++ development. C++ alone is complex but the algorithms broken down by both books merge the two quite well.
Do know that Financial Numerical Recipes in C++ notes the algorithm and formula with notations at the end. After that, do expect a listing C++ source code which will quickly ramp up your knowledge in both. This is important if you really want to build your confidence really fast for those interviews leading to high paying Quant positions.