Name: C++ Design Patterns and Derivatives Pricing par M. S. Joshi (University of Melbourne)
SKU: 9780521721622
Price: 48.00 EUR
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C++ Design Patterns and Derivatives Pricing Résumé

C++ Design Patterns and Derivatives Pricing M. S. Joshi (University of Melbourne)

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++.

C++ Design Patterns and Derivatives Pricing Avis

'This is a short book, but an elegant one. It would serve as an excellent course text for a course on the practical aspects of mathematical finance.' International Statistical Institute
'This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems.' Journal of the American Statistics Association
'This book, although it is quite short, does cover a significant amount of material and does deal with some fairly advanced topics that are important to practitioners. The real strength of the book is its clarity and conciseness.' SIAM Review

À propos de M. S. Joshi (University of Melbourne)

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

Sommaire

Preface; 1. A simple Monte Carlo model; 2. Encapsulation; 3. Inheritance and virtual functions; 4. Bridging with a virtual constructor; 5. Strategies, decoration and statistics; 6. A random numbers class; 7. An exotics engine and the template pattern; 8. Trees; 9. Solvers, templates and implied volatilities; 10. The factory; 11. Design patterns revisited; 12. The situation in 2007; 13. Exceptions; 14. Templatizing the factory; 15. Interfacing with EXCEL; 16. Decoupling; A. Black-Scholes formulas; B. Distribution functions; C. A simple array class; D. The code; Bibliography; Index.

Informations supplémentaires

Sku

GOR003837643

ISBN 13

9780521721622

ISBN 10

0521721628

Titre

C++ Design Patterns and Derivatives Pricing M. S. Joshi (University of Melbourne)

Auteur

M. S. Joshi (University of Melbourne)

Série

Mathematics, Finance and Risk

État

Occasion - Très bon état

Relié

Broché

Éditeur

Cambridge University Press

Année de publication

20080522

Nombre de pages

306

Prix

N/A

Note de couverture

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Note

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