C++ Design Patterns and Derivatives Pricing
Edition: 2nd 2008
List price: $72.00
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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 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++.
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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $72.00
Copyright year: 2008
Publisher: Cambridge University Press
Publication date: 5/22/2008
Size: 7.00" wide x 9.50" long x 0.75" tall
Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.
|A simple Monte Carlo model|
|Inheritance and virtual functions|
|Bridging with a virtual constructor|
|Strategies, decoration and statistics|
|A random numbers class|
|An exotics engine and the template pattern|
|Solvers, templates and implied volatilities|
|Design patterns revisited|
|The situation in 2007|
|Templatizing the factory|
|Interfacing with EXCEL|
|A simple array class|