Options, Futures And Other DerivativesHull, John C.
ISBN: 9780521832359
C++ Design Patterns and Derivatives Pricing
Joshi, Mark S.
ISBN 10: 0521832357 / 0-521-83235-7ISBN 13: 9780521832359
Publication Date: 2004
Binding: Hardcover
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C++ Design Patterns and Derivatives Pricing: Synopsis
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.
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