C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)
ISBN-13:
9780521832359
ISBN-10:
0521832357
Author:
Mark S. Joshi
Publication date:
2004
Publisher:
Cambridge University Press
Format:
Hardcover
214 pages
Category:
Finance
,
Software
,
Applied
,
Mathematics
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Book details
ISBN-13:
9780521832359
ISBN-10:
0521832357
Author:
Mark S. Joshi
Publication date:
2004
Publisher:
Cambridge University Press
Format:
Hardcover
214 pages
Category:
Finance
,
Software
,
Applied
,
Mathematics
Summary
C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2) (ISBN-13: 9780521832359 and ISBN-10: 0521832357), written by authors
Mark S. Joshi, was published by Cambridge University Press in 2004.
With an overall rating of 3.9 stars, it's a notable title among other
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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.
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