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Books for Implementing Derivatives Pricing Methods in C++

Article Quant Q&A · Author: A.Oreo
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Summary

The discussion recommends references for implementing derivatives pricing methods such as trees, finite differences, and Monte Carlo in C++. It notes that books using newer C++ standards may be difficult to find, while Mark Joshi’s book on design patterns and derivatives pricing is recommended for idiomatic C++03. Its second edition covers trees in a dedicated chapter.

Luigi Ballabio also recommends his book on QuantLib’s implementation of trees, finite differences, and Monte Carlo. He cautions that its designs reflect the library’s constraints and goals, which may not fit every project. The discussion offers recommendations rather than a technical comparison, and it provides no evaluation of how well the books suit modern C++ development.

Key ideas

  • The discussion says books focused on derivatives pricing in modern C++ may be hard to find.
  • Mark Joshi’s book is recommended for its use of idiomatic C++03 and design patterns.
  • The second edition includes coverage of tree methods.
  • QuantLib’s implementation offers examples of trees, finite differences, and Monte Carlo methods.
  • The QuantLib design choices may depend on constraints that differ from those of other projects.

Tags

Derivatives pricingOptionsBacktesting
Full text
# Refer some most recent books of derivatives pricing by C++


# Refer some most recent books of derivatives pricing by C++












Could you refer some most recent books of `derivatives pricing by C++` including Tree method, Finite difference method, Monte Carlo etc.

Once I read a series of `Daniel Duffy`'s books, but most of his books were written more than 15 years. Many syntax are not used in modern C++ code.

## Answer by Luigi Ballabio (score 7)

https://quant.stackexchange.com/a/36732

If by "modern C++" you mean C++11 and beyond, I'm afraid you won't find such a book at this time.

If you are content with idiomatic C++ 03, as in "using the STL and smart pointers instead of managing memory by hand", I second Quantuple's suggestion of Mark Joshi's book.

With a couple of caveats, I might also add my own Implementing QuantLib; the caveats being that (a) I'm tooting my own horn here, so I hope this answer will be useful enough not to be seen as just self-promotion; and (b) it describes the implementation of trees, FD, MC etc. in QuantLib, which is based on the constraints and the design goals we had for the library and might or might not be applicable in your case. I tried to describe those as well, so you can make different choices based on your constraints.

## Answer by Quantuple (score 4)

https://quant.stackexchange.com/a/36707

I'd recommend the 2nd edition of C++ Design Patterns and Derivatives Pricing (2008) by the regretted Mark Joshi. The table of contents is available here. Trees are covered in Chapter 8.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.