Modeling Derivatives in C++ (+CD) / Edition 1

Paperback (Print)
Used and New from Other Sellers
Used and New from Other Sellers
from $34.83
Usually ships in 1-2 business days
(Save 65%)
Other sellers (Paperback)
  • All (9) from $34.83   
  • New (5) from $58.05   
  • Used (4) from $34.83   


This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Read More Show Less

Product Details

  • ISBN-13: 9780471654643
  • Publisher: Wiley
  • Publication date: 8/20/2004
  • Series: Wiley Finance Series , #263
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 840
  • Product dimensions: 7.50 (w) x 9.20 (h) x 1.80 (d)

Meet the Author

Justin London is the founder and visionary of (GMT), The World’s Online Financial Supermarket®, a global online trading and financial technology company, as well as, The World’s Online Trading Exchange ®, a global B2C and B2B auction and trading company. He has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed-income derivatives with a focus on building interest rate models. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.
Read More Show Less

Table of Contents

Ch. 1 Black-scholes and pricing fundamentals 1
Ch. 2 Monte Carlo simulation 45
Ch. 3 Binomial trees 123
Ch. 4 Trinomial trees 165
Ch. 5 Finite-difference methods 183
Ch. 6 Exotic options 246
Ch. 7 Stochastic volatility 274
Ch. 8 Statistical models 324
Ch. 9 Stochastic multifactor models 367
Ch. 10 Single-factor interest rate models 395
Ch. 11 Tree-building procedures 467
Ch. 12 Two-factor models and the Heath-Jarrow-Morton model 554
Ch. 13 LIBOR market models 630
Ch. 14 Bermudan and exotic interest rate derivatives 710
App. A Probability review 771
App. B Stochastic calculus review 783
Read More Show Less

Customer Reviews

Average Rating 5
( 1 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously
Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted March 15, 2005

    The Best Derivatives Book

    This book is perhaps the best book written and most comprehenisve book in the field of finance and derivatives. It is a must have fo r any student, practitioner, developer, or trader in quant finance. This book helped me get a high-paying job because I mastered the difficult concepts that are a must have for anybody working in derivatives. It covers all the equity and fixed-income models used on Wall Street in detail, providing not only the mathematics and theory, but the pratical implementation of the models in C++. It is the first book to bridge theory with practice. The book is much more useful than Hull's book (or any other derivatives book) because it has all the code and gives real-world examples using Bloomberg data.

    Was this review helpful? Yes  No   Report this review
Sort by: Showing 1 Customer Reviews

If you find inappropriate content, please report it to Barnes & Noble
Why is this product inappropriate?
Comments (optional)