Friday, August 21, 2009

C++ Design Patterns and Derivatives Pricing


Mark S. Joshi, "C++ Design Patterns and Derivatives Pricing"
Cambridge University Press | 2004-09-06 | ISBN: 0521832357 | 214 pages | PDF | 1,5 MB

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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