C++ design patterns and derivatives pricing
Joshi, Mark
creator
text
xxu
Cambridge
Cambridge University Press
2004
monographic
eng
xiii, 199 p.
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
Joshi, Mark
Derivative securities - Prices - Mathematical models
C ++ (Computer Programme language)
Business mathematics
332.63
Mathematics, Finance and Risk
9780521832359
140323