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- Modeling Derivatives in C++ (Wiley Finance)
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5 people found this helpful

ByAndyon 5 November 2008

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.

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.

29 people found this helpful

ByW. O. Smithon 17 May 2005

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.

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.

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.

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.

ByAndyon 5 November 2008

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.

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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ByAjun Batraon 8 April 2005

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.

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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ByJose Ramirezon 12 November 2014

Good!

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ByDavid Shapiroon 10 June 2005

I found this book to be quite useful especially in my work working on the trading desk in London for one of the major tier one investment firms. I have been able to adapt a lot of the code for use in our systems. The author provides many useful libraries and routines that can be modified for pricing, hedging, and trading.

Those who have criticized the book seem to miss point on what it is for based--it does not teach you how to program in C++ or best design practices, rather it gives you the implementations for all the major models in C++ based on the model derivations. It gives readers the foundation for building their own models and adaptations as they see fit.

While not all the implementations are efficient, the author does discuss the inefficiencies and how they can be improved. The book's depth and coverage is perhaps what really makes this book so useful and resoureful as a desk reference.

The critism is without merit and bunch of rubbish.

I work with the top C++ programmers and all use the book as a desk reference given the book's comprehensive nature. A major desk wouldn't be using this book if it were not excellent. Furthermore, you are more likely to get a top notch job if you study and learn from the book.

Those who have criticized the book seem to miss point on what it is for based--it does not teach you how to program in C++ or best design practices, rather it gives you the implementations for all the major models in C++ based on the model derivations. It gives readers the foundation for building their own models and adaptations as they see fit.

While not all the implementations are efficient, the author does discuss the inefficiencies and how they can be improved. The book's depth and coverage is perhaps what really makes this book so useful and resoureful as a desk reference.

The critism is without merit and bunch of rubbish.

I work with the top C++ programmers and all use the book as a desk reference given the book's comprehensive nature. A major desk wouldn't be using this book if it were not excellent. Furthermore, you are more likely to get a top notch job if you study and learn from the book.

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ByDragoongodon 24 July 2013

Useful book for my dissertation. lots of examples to be quoted

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ByTh Choudhuryon 7 February 2005

This is a brilliant book - It is encyclopedic when it comes to pricing algorthms and very clear in its presentation. A point to note is that even though it covers a lot of background material, to understand the code, I would recomend that you need to understand the underlying mathematics to some degree before launching into this book. Also this is not a C++ tutorial book. Nevertheless this is a fantastic reference and I have used a lot of its examples to help with my work - a must for people interested or working in the field of quant finance

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ByA customeron 7 April 2005

Useful and informative. I am not a quant, I am merely a C++ programmer with an interest in option pricing. This book is fantastic.

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