C++ design patterns and derivatives pricing Joshi, Mark

By: Joshi, Mark
Material type: TextTextSeries: Mathematics, Finance and RiskPublisher: Cambridge Cambridge University Press 2004Description: xiii, 199 p.ISBN: 9780521832359Subject(s): Derivative securities - Prices - Mathematical models | C ++ (Computer Programme language) | Business mathematicsDDC classification: 332.63 Summary: 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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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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