Title: C++ Design Patterns and Derivatives Pricing: 2 (Mathematics, Finance and Risk, 2)
Publisher: Cambridge University Press
Publication Date: 2008
Language: English
ISBN 10: 0521721628
ISBN 13: 9780521721622
Binding: Soft cover
Edition: 2nd Edition
Condition: New

About this title

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++.

About the Author

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

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