C++ Design Patterns and Derivatives Pricing

By: M. S. Joshi

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Paperback | 17 July 2008 | Edition Number 2

At a Glance

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310 Pages

Edition Type
Revised

Dimensions(cm)
27 x 15 x 2

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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++.

Industry 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 '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

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Preface
A simple Monte Carlo model
Encapsulation
Inheritance and virtual functions
Bridging with a virtual constructor
Strategies, decoration and statistics
A random numbers class
An exotics engine and the template pattern
Trees
Solvers, templates and implied volatilities
The factory
Design patterns revisited
The situation in 2007
Exceptions
Templatizing the factory
Interfacing with EXCEL
Decoupling
Black-Scholes formulas
Distribution functions
A simple array class
The code
Bibliography
Index
Table of Contents provided by Publisher. All Rights Reserved.

C++ Design Patterns and Derivatives Pricing

At a Glance

Paperback

Industry Reviews

Shipping

How to return your order

Defective items

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