C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2) - Hardcover

Joshi, Mark S.

 
9780521832359: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)
Hardcover
ISBN 10: 0521832357 ISBN 13: 9780521832359
Publisher: Cambridge University Press, 2004

Synopsis

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.

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Review

'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

Book Description

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.

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Publisher
Cambridge University Press
Publication date
2004
Language
English
ISBN 10 
0521832357
ISBN 13 
9780521832359
Binding
Hardcover
Number of pages
214