C++ Design Patterns and Derivatives Pricing

by M.S. Joshi

Book Overview

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... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 0521721628
• ISBN13: 9780521721622
• Release Date: June 2008
• Publisher: Cambridge University Press
• Length: 306 Pages
• Weight: 1.50 lbs.
• Dimensions: 0.6" x 6.7" x 9.7"

Customer Reviews

A must-buy for learning how to implement financial applications in C++ in an OO way

Mark's book actually teaches you how to properly use classes and inheritance (virtual functions) to implement derivative pricing models in C++. The slim book is actually quite 'thick' in the sense that you need to spend some time on understanding the design and ideas behind those codes. In addtion, the second ed. includes a chapter on XLW (a package links C++ to Excel and modified by MJ). After using XLW for some time now, I have to say that it is definitely one of the best applications for financial engineering. This is the book to buy if you want to develop/improve object-oriented thinking in C++.

An excellent short course in OOP

Do not be put off by the above-average price/page-count multiple: it will take a lot of time and work to go through the book's 200 pages, and you won't regret the effort. This is not one's introduction to C++, nor is it a collection of ready-to-use code. Instead, the book sets out to demonstrate why you need OOP, and does that in the context of a single, progressively expanding, exercise. PS. I would recommend preliminary reading in the form of "Effective C++" by Meyers, and "Design Patterns" by Freeman and Freeman or the GoF book.

Benchmark book on Computational Finance

Mark has produced a marvel. The book introduces practical C++ programming with such spontaneity. The author sets the pitch beautifully with a step-by-step introduction of the need of advanced computing. It handholds reader as it expands from basic oops programming to designs and patterns in computing while mentioning rare tips on efficiency requirements when pricing derivatives versus robust programming. The book is elegantly written with precise explanations and very concise (and very practical). It comes with the code as well. As the other reviewer pointed out, the book has written for specific purpose and the focus is not diluted throughout (for example, it did not expand on quantitative issues which could have taken the book out of bounds which is a very big plus point). Even though the book is concise, it would require quite a lot of time to get the best out of it, because it is very dense on issues. A must have book for anyone who is interested in Computational Finance (Quantitative Analyst/Developers, Financial Engineers, and Risk Managers). It filled a very big gap in this arena. And this is written by a Practitioner Quant. Very well done Mark.

Full of OOP Wisdom!

In terms of programming concepts and OOP design for financial engineering, this book has no equals. We have Daniel Duffy's Financial Instrument Pricing Using C++, but it takes a different approach (i.e. generic programming based in STL). All through the book, the author introduces improvements sequentially and doesn't start from the best design from the outset in order to demonstrate the flaws of a less general/useful/reusable program. In this sense, this is mainly a conceptual book, not an example book. For example, it deals with and develops vanilla-option pricing using Monte Carlo simulation over the first five chapters. A reader looking for a cookbook that gives programs to implement a large number of financial-derivative models would be well-advised to look elsewhere (e.g. Justin London's Modeling Derivatives in C++). However, someone looking for OOP wisdom would be generously rewarded for buying this book.

From particular to general: design patterns in c++

In principle, it seems that this book is a very specialized one: design patterns in derivatives pricing. However, Mark Joshi has been able to give ideas that are generalizable to many other fields. For example, I have developed a trading simulator in c++ using several of the ideas of the book. The ideas in the book are so general, that very often one can do simply a copy and paste and just change the names of the classes and variables. The only complaint to the writer is that he does not supply the answers to the questions of the book. This is standard practice in academia (and there is a good reason for it), but this book is designed mainly for practitioners, that probably do not have too much time to solve difficult questions. The writer is widely known in forums like nuclearphynance and wilmott for his deep comments about derivatives pricing. Disclosure: I only know Mark Joshi because I have sent him an email with some questions about the book. He very kindly has replied to me. I do not have any other kind of relation with him.