01098nam a2200181Ia 4500008004100000020001800041082001100059100001600070245006100086260004800147300001700195365001400212440003400226520053500260650005700795650003900852650002500891140323b2004 xxu||||| |||| 00| 0 eng d a9780521832359 a332.63 aJoshi, Mark aC++ design patterns and derivatives pricingcJoshi, Mark aCambridgebCambridge University Pressc2004 axiii, 199 p. bUKP 35.00 aMathematics, Finance and Risk aCombining 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 aDerivative securities - Prices - Mathematical models aC ++ (Computer Programme language) aBusiness mathematics