Joshi, Mark

C++ design patterns and derivatives pricing Joshi, Mark - Cambridge Cambridge University Press 2004 - xiii, 199 p. - Mathematics, Finance and Risk .

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

9780521832359


Derivative securities - Prices - Mathematical models
C ++ (Computer Programme language)
Business mathematics

332.63

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