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C++ Design Patterns and Derivatives Pricing: Mathematics, Finance and Risk, cartea 2

Autor Mark S. Joshi
en Limba Engleză Hardback – 4 aug 2004
Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.
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Specificații

ISBN-13: 9780521832359
ISBN-10: 0521832357
Pagini: 214
Ilustrații: 38 exercises
Dimensiuni: 174 x 247 x 16 mm
Greutate: 0.63 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Mathematics, Finance and Risk

Locul publicării:Cambridge, United Kingdom

Cuprins

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 vols; 10. The factory; 11. Design patterns revisited; Appendix A. Black-Scholes formulas; Appendix B. Distribution functions; Appendix C. A simple array class; Appendix D. The code; Bibliography.

Recenzii

'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

Descriere

Shows how to combine mathematical finance and object-oriented programming to practical effect.