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C++ Design Patterns and Derivatives Pricing by Mark Joshi
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C++ Design Patterns and Derivatives Pricing [Paperback]

by Mark Joshi
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Description of C++ Design Patterns and Derivatives Pricing

Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples.

This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.

- New edition includes extra material on how to increase robustness, decrease compile times, improve designs, and interface C++ with EXCEL

- Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit

- Implementation of a Monte Carlo pricer for path-dependent exotic derivatives is used as a running example throughout the book

Title Information

ISBN:
9780521721622
Pages:
308 pages
Format:
Paperback
Product Code:
271045
Publisher:
Cambridge University Press
Published:
12/05/2008
Edition:
2nd Edition

Press and Industry Reviews

"This is a short book, but an elegant one. It would serve as an excellent course text for a course on the practical aspects of mathematical finance."
- International Statistical Institute

"This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems."
- Journal of the American Statistics Association

"This book, although it is quite short, does cover a significant amount of material and does deal with some fairly advanced topics that are important to practitioners. The real strength of the book is its clarity and conciseness."
- SIAM Review

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Contents of C++ Design Patterns and Derivatives Pricing

Preface

1. A simple Monte Carlo model
2. Encapsulation
3. Inheritance and virtual functions
4. Bridging with a virtual constructor
5. Strategies, decoration and statistics
6. A random numbers class
7. An exotics engine and the template pattern
8. Trees;
9. Solvers, templates and implied volatilities
10. The factory
11. Design patterns revisited
12. The situation in 2007
13. Exceptions
14. Templatizing the factory
15. Interfacing with EXCEL
16. Decoupling

A. Black-Scholes formulas
B. Distribution functions
C. A simple array class
D. The code

Bibliography
Index


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