Click on a thumbnail to go to Google Books.
C++ Design Patterns and Derivatives Pricing
No current Talk conversations about this book.
References to this work on external resources.
Wikipedia in English (1)
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)
No library descriptions found.