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C++ Design Patterns and Derivatives Pricing

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ISBN-10: 0521832357

ISBN-13: 9780521832359

Edition: 2004

Authors: Mark S. Joshi, Mark Broadie, Sam Howison, Neil Johnson, George Papanicolaou

List price: $71.99
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Description:

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.
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Book details

List price: $71.99
Copyright year: 2004
Publisher: Cambridge University Press
Publication date: 8/5/2004
Binding: Hardcover
Pages: 214
Size: 7.00" wide x 10.00" long x 0.75" tall
Weight: 1.364
Language: English

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne. He has wide experience of teaching courses in financial mathematics and has previously held posts at the University of Cambridge and at Royal Bank of Scotland Group Risk Management. In February 2004 he was appointed Head of Quantitative Research Centre (QUARC) at RBS. He is the author of two books and numerous papers on both financial and pure mathematics, and has been an invited speaker at many international conferences.

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 vols
The factory
Design patterns revisited
Black-Scholes formulas
Distribution functions
A simple array class
The code
Bibliography