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C++ Design Patterns and Derivatives Pricing
Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis.
214 pages, Hardcover
First published September 6, 2004
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Displaying 1 - 3 of 3 reviews
September 4, 2007
The "design patterns" were only used for trivial examples. The book spends a good bit of time explaining basic C++ (things anyone who has read and understood Stroustrup's "The C++ Programming Language" will be very familiar with), but defers nearly all explanation of the pricing models described to other texts. This didn't seem like it was writen by someone who had actually built a real derivatives trading system in C++.
August 10, 2023
Not bad; goes through MC pricer, whilst progressively introducing more advanced C++ concepts.
February 22, 2016
One of the best books on practical programming for finance.
Displaying 1 - 3 of 3 reviews
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