A Brief Review of the C++ Programming Language Getting started Procedural programming in C++ Object-oriented features of C++ Templates Exceptions Namespaces ----Basic Building Blocks The Standard Template Library (STL) The Boost Libraries Numerical arrays Numerical integration Optimisation and root search The term structure of interest rates----Lattice Models for Option Pricing Basic concepts of pricing by arbitrage Hedging and arbitragefree pricing Defining a general lattice model interface Implementing binomial lattice models Models for the term structure of interest rates ----The Black/Scholes World Martingales Option pricing in continuous time Exotic options with closed form solutions Implementation of closed form solutionsAmerican options ----Finite Difference Methods The object-oriented interfaceThe explicit finite difference method The implicit finite difference method The Crank/Nicolson scheme----Implied Volatility and Volatility Smiles Calculating implied distributions Constructing an implied volatility surface Stochastic volatility ----Monte Carlo Simulation Background The generic Monte Carlo algorithm Simulating asset price processes Discretising stochastic differential equations Predictor-corrector methods Variance reduction techniquesPricing instruments with early exercise features Quasi-random Monte Carlo ----The Heath/Jarrow/Morton Model The model framework Gauss/Markov HJM Option pricing in the Gaussian HJM framework Adding a foreign currency Implementing closed-form solutions Monte Carlo simulation in the HJM framework Implementing Monte Carlo simulation ----Appendix A: Interfacing between C++ and Microsoft Excel Appendix B: Automatic Generation of Documentation Using Doxygen ----References --Index.