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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) Paperback – 22 May 2008


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Product details

  • Paperback: 306 pages
  • Publisher: Cambridge University Press; 2 edition (22 May 2008)
  • Language: English
  • ISBN-10: 0521721628
  • ISBN-13: 978-0521721622
  • Product Dimensions: 17.4 x 1.6 x 24.7 cm
  • Average Customer Review: 4.5 out of 5 stars  See all reviews (10 customer reviews)
  • Amazon Bestsellers Rank: 333,683 in Books (See Top 100 in Books)
  • See Complete Table of Contents

More About the Author


Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005. He is a professor there.

His latest book "More mathematical finance" was published in September 2011.


Product Description

Review

'This is a short book, but an elegant one. It would serve as an excellent course text for a course on the practical aspects of mathematical finance.' International Statistical Institute

'This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems.' Journal of the American Statistics Association

'This book, although it is quite short, does cover a significant amount of material and does deal with some fairly advanced topics that are important to practitioners. The real strength of the book is its clarity and conciseness.' SIAM Review

Book Description

Using carefully-chosen examples, this book explains how to create well-designed, structured, reusable code, particularly for financial applications. New chapters explain interfacing C++ with EXCEL, designing a generic factory, and improving code design with decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying web site.

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2 of 2 people found the following review helpful By Simon on 27 Dec. 2010
Format: Paperback
This book is useful for people who know a bit of C++ and a bit of finance but who haven't seen design patterns in use. It is written as a walkthrough - a piece of software is built up and improved chapter by chapter. That makes it really easy to follow, although it does mean you have to read it in order. Highly recommended if you are looking to see design patterns in practice and to see how financial software can be written.
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12 of 14 people found the following review helpful By A Customer on 7 Dec. 2004
Format: Hardcover
C++ is a big language. It has a lot of features and even more in the way of clever ideas for combining these features to create effective code. Most books on the subject are dauntingly huge, at least to the novice. Perhaps the greatest virtue of this book is that it covers a lot of ground while being slim enough (under 200 widely-spaced pages) to be easily read from cover to cover.
The book is clearly aimed at those in quantitative finance and the examples are designed to be of genuinely useful code that a quant might write. This is a refreshing change from more general books where the examples are either silly ("a Sauternes is inherited from a Bordeaux and has a pour() member function") or do the kind of low-level manipulation (such as container classes) that few programmers write. The examples are given in full, even if this involves repeating a good deal of code, but I suppose this does give the reader the satisfaction of quickly skimming two or three pages from time to time.
Aside from a basic acquaintance with mathematical finance, the reader is required to have a rudimentary knowledge of C++. However the more advanced language features, such as virtual functions and templates, are explained concisely as they are introduced. Writing good object-oriented code depends very much on knowing not so much the syntatical rules but why the language features are there and when to use them. This is the emphasis of this book; it gives very clear well-reasoned guidance for effective use of the language. One very important aspect of this is the use of so-called "design patterns". I'm not sure this term is ever defined but it becomes clear through many examples that it refers to clever ways to combine language features to achieve particular generic goals.
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7 of 8 people found the following review helpful By W. O. Smith VINE VOICE on 17 May 2005
Format: Hardcover Verified Purchase
Unlike many textbooks, all the code in Joshi's book works and compiles. However, do save yourself time and get the latest version of the code from his website, forget the bundled CD.
Joshi not only explains quickly how to implement the basic pricing techniques (trees, monte carlo), but also offers some good guidance on modern OO C++ techniques (patterns) along the way.
My only criticism is that the book is too short. I would have gladly read another 50% on top.
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12 of 15 people found the following review helpful By A Customer on 20 Oct. 2004
Format: Hardcover
Having implemented mathematical finance solutions in a variety of programming languages, I found in Joshi's book the ideal guide to move to the C++ way of doing things.
The book certainly requires some knowledge of C++ (at least an introductory book) but leads the reader through a learning process focused on the reasons why C++ is the most used language in financial engineering.
It starts for the simplest non-OO implementation, highlighting (pros and) cons, and then moves on to the appropriate C++ solution. In the way, fundamental design patterns are introduced and used (strategy, decorator, bridge...). By the end of the book the reader will have seen how to build a Monte Carlo engine for exotic options and how to simplify its interface through the more complicated factory pattern.
Numerically, the book is mainly focused on Monte Carlo methods but it also spends a chapter on trees (binomial) and one on templatised root finding (for the implied vol). PDEs are not dealt with.
The never-ending requests of the "evil boss" are a constant driver in the quest for reusability and generality and the book clearly shows how to achieve these. Knowing how evil bosses can be I would say that this book is certainly a BUY!!!
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Format: Paperback
This book is advanced but comprehensible. It will not be your main book on financial maths, C++ or design patterns but it does illustrate many important points and decisions in a way that is hard to find elsewhere. It could explain a lot more but since no other book seems to come close one cannot complain.

Some of the design patterns seem to differ in their implementation from the standard implementation so there will be some thinking left to do for the reader. The maths is not so much explained as just mentioned so I have ordered the companion book, although beating John Hull for explaining the subject is a tall order.
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