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

Joshi, M. S.

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9780521721622: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)
Softcover
ISBN 10: 0521721628 ISBN 13: 9780521721622
Publisher: Cambridge University Press, 2008

Synopsis

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++.

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About the Author

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

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2008
Language
English
ISBN 10 
0521721628
ISBN 13 
9780521721622
Binding
Paperback
Edition number
2
Number of pages
306
Rating
  • 3.56 out of 5 stars
    18 ratings by Goodreads