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12 of 14 people found the following review helpful
5.0 out of 5 stars A fast-paced introduction to sophisticated C++, 7 Dec 2004
By A Customer
This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (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.
There are places where the author introduces several ideas at once and almost trips over himself in an effort to explain them all. But once the reader becomes accustomed to this and is therefore prepared to wait a little for an explanation of something, this is an effective way of getting through the material rapidly. Consequently this is a very readable book, in which the alert reader can learn a lot in a short time. All in all, this book is ideal for someone starting to write C++ for finance or even for a more experienced quant who feels his code is insufficiently sophisticated.
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7 of 8 people found the following review helpful
4.0 out of 5 stars Good, all the code works., 17 May 2005
By 
W. O. Smith (London, UK) - See all my reviews
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This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)
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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2 of 2 people found the following review helpful
5.0 out of 5 stars Great book, 27 Dec 2010
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 15 people found the following review helpful
5.0 out of 5 stars The boss and his/her requests, 20 Oct 2004
By A Customer
This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (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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3 of 4 people found the following review helpful
5.0 out of 5 stars The boss and his/her requests, 20 Oct 2004
By A Customer
This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (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 a 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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6 of 8 people found the following review helpful
4.0 out of 5 stars Where are the pictures?, 13 Aug 2006
By 
V. Zoonekynd (London) - See all my reviews
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This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)
This book tries to enforce good C++ programming practices, in particular design patterns, for options pricing, with a hands-on approach, concisely and clearly.

The main drawback is the lack of diagrams: when designing object oriented programs, you draw a lot of doodles (learned people call them "UML diagrams", but they are just doodles), that are useful to clarify your ideas and to communicate them. Why is there none? I checked other C++ finance books, and they all had the same problem -- if you plan to write yet another C++ finance book, you know what not to forget...

You are probably better off with a more general book about "good programming practices" (including, but not limited to, design patterns: Design Patterns, by E. Gamma et al., is the classical reference, but there might be newer books), a book about C++ programming quirks (such as S. Meyers's Effective C++), together with a more mathematically-oriented options book -- only come back to M. Joshi's book afterwards and consider it as an application of those practices.
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4.0 out of 5 stars Good, 31 Oct 2013
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I heard that it was a reference in the Quant finance space ... the books reads itself quite nicely. I recommend.
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4.0 out of 5 stars Good supliment to more basic books, 31 July 2010
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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5.0 out of 5 stars C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk), 28 Jun 2010
If you have good working technology the book is a great tool to understand derivatives pricing methods. The author has great feel for the appropriate exercises relevant to the c++ code while learning about financial derivatives.
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4 of 7 people found the following review helpful
4.0 out of 5 stars A Superb, Practical Introduction to Quant Programming, 23 Dec 2004
This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)
This book stands out because it has clearly been written by a quant practitioner rather than a pure theorist. It regularly focuses on the real life challenge of producing a performant, maintainable system which can be enhanced over time with minimal impact.
Though it does not claim to be an introduction to C++ or Mathematical Finance, its onion-skin approach is effective in guiding those with a very basic knowledge in these two areas into some reasonably advanced terrain.
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