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Modeling Derivatives in C++ (Wiley Finance) [Paperback]

Justin London
4.7 out of 5 stars  See all reviews (6 customer reviews)
RRP: 70.00
Price: 43.40 & FREE Delivery in the UK. Details
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Book Description

7 Jan 2005 0471654647 978-0471654643 Pap/Cdr
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.

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Modeling Derivatives in C++ (Wiley Finance) + C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) + The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)
Price For All Three: 127.94

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Product details

  • Paperback: 840 pages
  • Publisher: John Wiley & Sons; Pap/Cdr edition (7 Jan 2005)
  • Language: English
  • ISBN-10: 0471654647
  • ISBN-13: 978-0471654643
  • Product Dimensions: 23.3 x 19 x 4.5 cm
  • Average Customer Review: 4.7 out of 5 stars  See all reviews (6 customer reviews)
  • Amazon Bestsellers Rank: 292,264 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Product Description

About the Author

Justin London is the founder and visionary of GlobalMaxTrading.com (GMT), The World’s Online Financial Supermarket®, a global online trading and financial technology company, as well as GlobalMaxAuctions.com, 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.

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First Sentence
This chapter discusses the most important concepts in derivatives models, including risk-neutral pricing and no-arbitrage pricing. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Customer Reviews

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Most Helpful Customer Reviews
5 of 6 people found the following review helpful
5.0 out of 5 stars an excellent reference book 5 Nov 2008
By Andy
Format:Paperback
For someone who wants to learn finance maths, then i would not recommend this book. Also, for someone who wants to learn how to write advanced c++ methods, then again i would not recommend this book. This book becomes very useful when you know these 2 things prior to reading it. Why ?, because it can remind you of a particular financal math method very quickly by showing you the mathematics (without going too deep), AND presents an implementation of it C++. The C++ method is easy to grasp quickly because it does not use any complex c++ styles. If the system you are working on uses advanced c++, then you can easily adapt the code to suit your system. Hence this book is a perfect reference for getting some finance math algorithm running and working. Time permitting you can then optimise / adapt the code if necessary.

Not sure why some people have given negative reviews, maybe they are too pedantic about using fancy C++, or are missing lots of theorem / proof style mathematics - yawn yawn. Hull's book is a great book to learn the finance basics, then you can move on to joshi's / or wilmotts et al if you like more heavier mathematics. As for c++ books; there are many out there to choose from.
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27 of 34 people found the following review helpful
3.0 out of 5 stars Don't waste your time - much clearer elsewhere 17 May 2005
By W. O. Smith VINE VOICE
Format:Paperback|Verified Purchase
This book seems to alternate between about 10 pages of dense financial maths, followed by about 5-10 pages of code. But they aren't clearly related - it's not easy to see where the code comes from. In many cases, I found it easier to understand the code by referring to a much more readable reference on derivatives, the classic 'Hull' (Options, Futures and other Derivatives).

Also the rationale for implementing the code in a particular way is not discussed. The attitude seems to be "here's one way, take it or leave it". I found myself with many questions, for example, in the first few pages, they define

class Option, which contains 'double price_, double vol_, double dividend_' etc.

there is then a derived class

class VanillaOption: public Option, which contains 'double underlying_, double volatility_, double dividendYield_', etc.

there is then a class derived from this:

class BlackScholesOption : public VanillaOption, which contains 'double underlying_, double volatility_, double dividendYield_', etc.

At no point is it explained why these variables are duplicated at several levels, nor why they have subtly different names in different places. Is this a consious design decision, or just sloppy coding?

Having said that, this book does show a huge range of common pricing techniques implemented as C++ code. However, for a good introduction of pricing derivatives in C++, I'd instead recommend Mark Joshi's book (which is unfortunately much smaller, with much less coverage).

==Postscript==
After writing the above review, I found the book so heavy going I've never read it since. I would like to downgrade my review to 2 or 1 star, but Amazon won't let me.
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15 of 25 people found the following review helpful
Format:Paperback
As both a professor of finance and a practitioner in the field, I've used several books for teaching, but find this book to be one of the most useful and resourceful. This book is also being used in many other universities and trading desks given its depth and coverage.
The author does a phenomenal job in his coverage and discussion of equity and fixed-income models. Details and code for complex interest rate models like the HJM andLibor Market Models is given and the code is well-written and commented. Application of these models is shown for pricing exotic and structured products like synthetic swaps, Bermudan swaptions, index-amortizing swaps, and range notes.
In some sense, this book could be a substitute for Hull's book given that it is covers all the material in Hull's book plus much more, as well as provides all of the code in C++ -- something I've haven't seen in any other book. The author gives many C++ libraries and routines that can easily be adapted by readers into their own code and libraries.
One of the unique aspects of this book is that the author provides various implementations and not just one approach for an any given model. For instance, the model shows how the Hull-White model can be coded three different ways with each implementation more robust than the previous one.
What clearly distinguishes this book from any other in the field is the application of the models to real-world data and the detailed discussions for how to implement derivative models in C++. For instance, the discussion on implied modeling volatility surfaces and GARCH models includes details of the various techniques used by traders and developers to calibrate and estimate parameters using actual marketdata.
This book is important reading for those who want to master concepts and programming in financial engineering.
I strongly recommend this book.
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