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C++ Design Patterns and Derivatives Pricing Mark S. Joshi (Royal Bank of Scotland)

C++ Design Patterns and Derivatives Pricing By Mark S. Joshi (Royal Bank of Scotland)

C++ Design Patterns and Derivatives Pricing by Mark S. Joshi (Royal Bank of Scotland)


$65.99
Condition - Very Good
Out of stock

Summary

The author shows the relevance and use of OOP to financial mathematics by describing how to price derivatives to obtain reusable and extensible code. Those who know the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this account.

C++ Design Patterns and Derivatives Pricing Summary

C++ Design Patterns and Derivatives Pricing by Mark S. Joshi (Royal Bank of Scotland)

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.

C++ Design Patterns and Derivatives Pricing 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

Table of Contents

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 vols; 10. The factory; 11. Design patterns revisited; Appendix A. Black-Scholes formulas; Appendix B. Distribution functions; Appendix C. A simple array class; Appendix D. The code; Bibliography.

Additional information

GOR002322372
9780521832359
0521832357
C++ Design Patterns and Derivatives Pricing by Mark S. Joshi (Royal Bank of Scotland)
Used - Very Good
Hardback
Cambridge University Press
2004-08-05
214
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us

Customer Reviews - C++ Design Patterns and Derivatives Pricing