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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2) - Hardcover
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,...
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...
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.
- PublisherCambridge University Press
- Publication date2004
- ISBN 10 0521832357
- ISBN 13 9780521832359
- BindingHardcover
- LanguageEnglish
- Number of pages214
- Rating
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C++ Design Patterns and Derivatives Pricing
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Cambridge University Press, 2004
ISBN 10: 0521832357
ISBN 13: 9780521832359
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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)
Published by
Cambridge University Press, 2004
ISBN 10: 0521832357
ISBN 13: 9780521832359
Used
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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
Published by
Cambridge University Press, 2004
ISBN 10: 0521832357
ISBN 13: 9780521832359
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