C++ design patterns and derivatives pricing Joshi, Mark S.

By: Joshi, Mark S
Series: Mathematics, finance and risk, No 2Publisher: Cambridge Cambridge University Press 2008Edition: 2nd edDescription: xvi, 292 p.ISBN: 9780521721622Subject(s): Derivative securities - Prices - Mathematical models | C ++ (Computer Programme language) | Business mathematicsDDC classification: 332.64570285 Summary: Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. 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++. o New edition includes extra material on how to increase robustness, decrease compile times, improve designs, and interface C++ with EXCEL o 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 o Implementation of a Monte Carlo pricer for path-dependent exotic derivatives is used as a running example throughout the book
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Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. 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++. o New edition includes extra material on how to increase robustness, decrease compile times, improve designs, and interface C++ with EXCEL o 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 o Implementation of a Monte Carlo pricer for path-dependent exotic derivatives is used as a running example throughout the book

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