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C++ Design Patterns and Derivatives Pricing by Mark Joshi

  • C++ Design Patterns and Derivatives Pricing

  • by Mark Joshi
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    • Product code: 271045
    • ISBN: 0521721628, ISBN13: 9780521721622, 308 pages, paperback
      Published by Cambridge University Press, 2nd edition, 2008
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    Description of C++ Design Patterns and Derivatives Pricing

    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 mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples.

    This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.

    - New edition includes extra material on how to increase robustness, decrease compile times, improve designs, and interface C++ with EXCEL

    - Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit

    - Implementation of a Monte Carlo pricer for path-dependent exotic derivatives is used as a running example throughout the book

    Contents of C++ Design Patterns and Derivatives Pricing

    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 volatilities
    10. The factory
    11. Design patterns revisited
    12. The situation in 2007
    13. Exceptions
    14. Templatizing the factory
    15. Interfacing with EXCEL
    16. Decoupling

    A. Black–Scholes formulas
    B. Distribution functions
    C. A simple array class
    D. The code

    Bibliography
    Index
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