C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

Editorial Reviews
Review
'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

Book 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.

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk),Mark S. Joshi,Mark Broadie,Sam Howison,Neil Johnson,George Papanicolaou,Cambridge University Press,0521832357,Business & Economics,Business Software - General,Business mathematics,Business/Economics,C++ (Computer program language,C++ (Computer program language),Computers - Languages / Programming,Derivative securities,Finance,Mathematical models,Prices,Programming - Object Oriented Programming,Programming Languages - C++,Applied mathematics,C & Visual C,Computers / Programming / Software Development,Mathematical & statistical software

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