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C++ Design Patterns and Derivatives Pricing by M. S. Joshi

C++ Design Patterns and Derivatives Pricing

by M. S. Joshi
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Book cover type: Paperback
  • ISBN13: 9780521721622
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press
  • Publication Date:
  • Pages: 306
  • Original Price: GBP 65.0
  • Language: English
  • Edition: 2 Revised edition
  • Item Weight: 640 grams
  • BISAC Subject(s): Investments & Securities / General

Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. 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++.

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

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