C++ Design Patterns and Derivatives Pricing

C++ Design Patterns and Derivatives Pricing by Mark S Joshi

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.

'This is a short book, but an elegant oneIt would serve as an excellent course text for a course on the practical aspects of mathematical finance.' International Statistical Institute

SKU	Unavailable
ISBN 13	9780521832359
ISBN 10	0521832357
Title	C++ Design Patterns and Derivatives Pricing
Author	Mark S Joshi
Series	Mathematics Finance And Risk
Condition	Unavailable
Binding Type	Hardback
Publisher	Cambridge University Press
Year published	2004-08-05
Number of pages	214
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable