C++ Design Patterns and Derivatives Pricing

M. S. Joshi (University of Melbourne)

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Hardback

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English

Cambridge University Pres
17 July 2008

Finance; Mathematics & Sciences; Applied mathematics; Object-oriented programming (OOP)

Series: Mathematics, Finance and Risk

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++.

By: M. S. Joshi (University of Melbourne)
Imprint: Cambridge University Pres
Country of Publication: United Kingdom
Edition: 2nd Revised edition
Volume: No. 2
Dimensions: Height: 247mm, Width: 174mm, Spine: 16mm
Weight: 640g
ISBN: 9780521721622
ISBN 10: 0521721628
Series: Mathematics, Finance and Risk
Pages: 308
Publication Date: 17 July 2008
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.

Reviews for C++ Design Patterns and Derivatives Pricing

'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