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《C++ Design Patterns and Derivatives Pricing》 (Mathematics, Finance and Risk)
By Mark. S. Joshi
Publisher: Cambridge University Press
Number Of Pages: 308
Publication Date: 2008-06-09
ISBN-10 / ASIN: 0521721628
ISBN-13 / EAN: 9780521721622
Binding: Paperback
Product Description:
Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. 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++.
Summary: A must-buy for learning how to implement financial applications in C++ in an OO way
Rating: 5
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++.
Summary: Nice Concise Book
Rating: 5
This book is easy to read and hands on. Although there are a lot of excellent books which will give you an introduction to C++ for general purposes, I will still recommend this book to people who want to learn C++ for derivatives pricing.
Summary: A great book
Rating: 4
Joshi\'s book is practical and concise. The whole book is project-based and through step-by-step method in his book, Joshi provide a vivid view towards how to construct a pricing engine in an object-oriented way. This book forces me to think in an object-oriented way and to think about code reusability, the logics and relation between different classes I put into my pricing engine. After my first semester\'s intense focus on this book, I found that my codes are just a nutshell of my whole logics and my understanding to the problem I want to solve, and then codes are extensible and readable.
It is not a book for reading, but rather a book for practicing. It is not an easy book. But some of my friends\' interview questions are just the exercise in the book!! I would believe it is also a great book for preparing interviews.
Summary: Inadequate as tutorial or reference
Rating: 1
This slim volume is totally inadequate either as a C++ book or as a derivative pricing book. (After all, how much can you cover on either topic in just 170 pages or so?) I\'m not sure what purpose it really serves. It seems to require the reader to know quite a bit of C++ yet things like virtual function should already be known by the reader. This is not good as either tutorial or reference.
Summary: An excellent short course in OOP
Rating: 5
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.
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