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

Joshi, Mark S.

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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

Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis.

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

Book Description

This is the first book that combines the areas of mathematical finance, C++, and object-oriented programming (OOP). The author shows shows the relevance and use of OOP to financial mathematics by describing how to price derivatives to obtain reusable and extensible code. Much of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Those who know the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this account.

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
2004
Language
English
ISBN 10 
0521832357
ISBN 13 
9780521832359
Binding
Hardcover
Number of pages
214
Rating
  • 3.66 out of 5 stars
    29 ratings by Goodreads