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C++ Design Patterns and Derivatives Pricing…
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C++ Design Patterns and Derivatives Pricing

by Mark S. Joshi

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Authors homepage http://www.markjoshi.com
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  knol | May 12, 2008 |
I wish there had been more books like this, a good medium between practical problem solving and design patterns for the derivative professional. Most other design books take watered down examples to solve. ( )
  sthitha_pragjna | Jun 6, 2006 |
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Amazon.com Product Description (ISBN 0521832357, Hardcover)

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.

(retrieved from Amazon Thu, 12 Mar 2015 18:04:19 -0400)

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