“… a comprehensive, dual-perspective introduction to quantitative finance methods. By providing implementation details alongside theory, Schlögl ensures that one is never overemphasized at the expense of the other. All of the code described is reusable and reliant on only a small number of external libraries, meaning that this book is an invaluable resource to students and professionals in the field alike.”
―Computing Reviews, March 2015

“I recommend Erik Schlogl’s new book to all those interested in model implementation. From quasi-random sequences to HJM to the Excel interface, with full C++ code, there is something here for everyone.”
―Jim Gatheral, Presidential Professor, Baruch College, CUNY

“If 25 years ago I had started in finance using C instead of Visual Basic, perhaps now I might be approximating Prof. Schlogl’s balanced and professional C++ framework for pricing financial derivatives. From interacting with quants writing production code I have learnt that several years’ experience with C++ can be dangerous as the possibility of writing incomprehensible (to others) abstract code becomes attractive. In this respect Prof. Schlogl strikes just the right balance between using the full power of C++ to encapsulate, concentrate, and abstract code, while remaining comprehensible. His book thoroughly outlines a framework, including procedures and libraries, for constructing the various building blocks of pricing systems for financial derivatives. Users implementing his sort of framework can be confident their code will be understood, and that it can be maintained and revised without dating. It is one of the dozen or so books that ought to be on every financial quant’s bookshelf; if only I had had it earlier!”
―Alan Brace, Senior Quantitative Analyst in Market Risk, National Australia Bank, and Adjunct Professor, Quantitative Finance Research Centre, University Technology of Sydney

“While some view quantitative finance as just another playground for beautiful mathematical theories, it is ultimately a very practical discipline where one’s success is more often than not measured by the quality, speed, and accuracy of computer code written to solve real-world problems. Quantitative Finance: An Object-Oriented Approach in C++ embraces this pragmatic view wholeheartedly to great success. The three core competencies of a successful quant: firm grasp of theory, strong command of numerical methods, and software design and development skills are taught in parallel, inseparable in the book as they are in the real world. A fantastic resource for students looking to become quants, the book sets a standard on how practically relevant quantitative finance should be taught. Those already in the field will also no doubt learn a thing or two on how to represent common financial constructs as logical and reusable software components.”
―Vladimir V. Piterbarg, Head of Quantitative Analytics, Barclays

“Students and practitioners of quantitative analysis have long wanted a detailed exposition of computational finance that includes implementation details and quality C++ code. Their desires are no longer unrequited―this book contains a clear and careful discussion of many of the key derivatives pricing models together with object-oriented C++ code. Substantial discussion of the design choices made is also included. I believe that this book is destined to be part of every financial engineer’s toolkit.”
―Professor Mark Joshi, University of Melbourne