C++ Design Patterns and Derivatives Pricing / Edition 2

C++ Design Patterns and Derivatives Pricing / Edition 2

by M. S. Joshi
     
 

Explains how to create well-designed, structured, reusable C++ code, particularly for financial applications.See more details below

Overview

Explains how to create well-designed, structured, reusable C++ code, particularly for financial applications.

Product Details

ISBN-13:
9780521721622
Publisher:
Cambridge University Press
Publication date:
06/30/2008
Series:
Mathematics, Finance and Risk Series, #2
Edition description:
New Edition
Pages:
308
Product dimensions:
6.80(w) x 9.60(h) x 0.60(d)

Table of Contents

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.

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