C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)

By Mark S. Joshi

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.

• Format: Hardcover
• Language: English
• ISBN: 0521832357
• ISBN13: 9780521832359
• Release Date: September 2004
• Publisher: Cambridge University Press
• Length: 214 Pages
• Weight: 1.40 lbs.
• Dimensions: 10.0" x 0.8" x 7.0"