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.


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.

  • $\begingroup$ Is the library QuantLib frequently used by quants in the current investment banks? I desired to find the real(closed to) codes written by traders or quants in the current investment banks. $\endgroup$
    – A.Oreo
    Nov 3 '17 at 12:55
  • 1
    $\begingroup$ Larger investment banks usually have proprietary code, which of course doesn't get published in books. QuantLib seems to be used by a number of people (we get a few thousand downloads per version) but it's difficult to get actual figures about its penetration in banks. I know a few places where it's used, but I'm not sure I'm at liberty to tell. $\endgroup$ Nov 3 '17 at 13:23

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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