C++ Design Patterns And Derivatives Pricing

Hardcover: 214 pages
Publisher: Cambridge University Press (September 6, 2004)
Language: English
ISBN-10: 0521832357
ISBN-13: 978-0521832359

Tagged with: Certification Design Patterns

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E-Book Details

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.

E-Book Details

This is the first book that combines the areas of mathematical finance, C++, and object-oriented programming (OOP). The author shows shows the relevance and use of OOP to financial mathematics by describing how to price derivatives to obtain reusable and extensible code. Much of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Those who know the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this account.

Details About Author

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne. -This text refers to the Paperback edition.