C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

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9780521832359: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
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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.

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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.

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9780521721622: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

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ISBN 10:  0521721628 ISBN 13:  9780521721622
Publisher: Cambridge University Press, 2008
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