TY - BOOK
AU - Joshi, Mark
TI - C++ design patterns and derivatives pricing
SN - 9780521832359
U1 - 332.63
PY - 2004///
CY - Cambridge
PB - Cambridge University Press
KW - Derivative securities - Prices - Mathematical models
KW - C ++ (Computer Programme language)
KW - Business mathematics
N2 - 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
ER -