financial mathematics. It is a streamlined account of the features of C++
that are most useful to a financial mathematician.
Throughout the book we will focus on a key recurring example: How do
you price a portfolio of financial derivatives? We will use this example to show
• How to use C++ language in practice
• What kinds of problems banks face
• The skills you need to solve them
These skills include C++ programming skills and mathematical skills but also
include testing, debugging, design, and software architecture.
The financial mathematics knowledge needed for this book has been kept
to a minimum and is summarised in Appendix A.