C++ Design Patterns and Derivatives Pricing

M. S. Joshi (Autor)

Buch | Softcover

306 Seiten

2008 | 2nd Revised edition
Cambridge University Press (Verlag)
978-0-521-72162-2 (ISBN)

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Using carefully-chosen examples, this book explains how to create well-designed, structured, reusable code, particularly for financial applications. New chapters explain interfacing C++ with EXCEL, designing a generic factory, and improving code design with decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying web site.

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++.

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.

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.

Erscheint lt. Verlag	22.5.2008
Reihe/Serie	Mathematics, Finance, and Risk
Zusatzinfo	Worked examples or Exercises
Verlagsort	Cambridge
Sprache	englisch
Maße	174 x 247 mm
Gewicht	640 g
Themenwelt	Informatik ► Software Entwicklung ► Objektorientierung
	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-521-72162-8 / 0521721628
ISBN-13	978-0-521-72162-2 / 9780521721622
Zustand	Neuware