C++ Design Patterns and Derivatives Pricing

ISBN-10: 0521721628
ISBN-13: 9780521721622
Edition: 2nd 2008
Authors: M. S. Joshi
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Description: Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce  More...

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Book details

List price: $72.00
Edition: 2nd
Copyright year: 2008
Publisher: Cambridge University Press
Publication date: 5/22/2008
Binding: Paperback
Pages: 306
Size: 7.00" wide x 9.50" long x 0.75" tall
Weight: 1.430
Language: English

Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.

Preface
A simple Monte Carlo model
Encapsulation
Inheritance and virtual functions
Bridging with a virtual constructor
Strategies, decoration and statistics
A random numbers class
An exotics engine and the template pattern
Trees
Solvers, templates and implied volatilities
The factory
Design patterns revisited
The situation in 2007
Exceptions
Templatizing the factory
Interfacing with EXCEL
Decoupling
Black-Scholes formulas
Distribution functions
A simple array class
The code
Bibliography
Index

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