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4 of 4 people found the following review helpful
on 17 March 2011
This book provides such a useful, needed bridge. It bridges the gap between model validation thinking and front office quant thinking. It bridges between theory and Joshi in that it teaches OOP specific to the domain of financial models, in a way which complements Joshi's Design Patterns very well. What it loses in OOP by choosing VBA it gains tremendously in pedagogy. The maths covered also sits nicely between theory and engineering, e.g. covering calibration, Longstaff-Schwartz, variance reduction techniques, and even Heston dynamics. A pleasure to read, too. Highly recommended!
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2 of 2 people found the following review helpful
on 20 May 2011
I am a quantitative analyst in the City. Nick's book is a good introduction on derivative modelling in VBA, combining his expertise in computational finance, particularly in the area of Monte Carlo simulation.
The book uses fundamental pricing models as example, but is very successful in conveying the idea of different
levels of design. A big selling point is polymophic factory in VBA. It is also a good reference on variance reduction method. It is comprehensive and advanced. In addition, the author provides all the implementations in
the VBA codes in the accompanying CD. This makes the book stand out from its competitors.
I strongly recommend this book to both practitioners and academic researcher. It is a necessary reference for those who are in the area of computational finance.
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2 of 2 people found the following review helpful
on 3 March 2011
I work as a quant modeller in the industry. Am always a big fan of advanced implementation methods, especially the efficiency on complex products and the flexibility of adapting the exotics.

I've known about Nick's work back in early 00's. As expected, I found this new book from Nick perfectly fits my needs. It is straight forward with a "blue print" given in the very beginning while the solutions are presented with discussion in depth, covering almost every little detail I meet in both my work and research. I also like the comparison between C++ and VBA, the translation between coding shows consistent and neat programming structure in different implementation environments.

As for the CD that comes with the book, all I can say is: not every programming book comes with a library!
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3 of 4 people found the following review helpful
on 5 March 2011
I never thought I'd like a book that had so much on Monte Carlo simulation and Object-Oriented programming; as a mere level 1 programmer with my basic procedural code, I can but aspire to Nick's level 6 with design patterns - but his emphasis on detailed timing comparisons concerning arithmetic operations, data typing (variants are evil) and programming levels is valuable and unique information; to this is added a comprehensive treasure trove of Monte Carlo methods including low-discrepancy sequences, least-squares Longstaff-Schwartz and predictor-corrector; an essential reference for serious quants - I've just bought four more copies to give as prizes to my students
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on 19 August 2013
Excellent for a step by step learning/concept discovery. Goes in detail on key programming themes. More than worthwhile buy: but just don't take my words for it. See it for yourself.
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