Title: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)
Publisher: Cambridge University Press
Publication Date: 2004
Language: English
ISBN 10: 0521832357
ISBN 13: 9780521832359
Binding: Hardback
Condition: Very Good
Weight: 612 grams

About this title

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.

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.

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