3 of 4 people found the following review helpful
The boss and his/her requests,
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!!!
(10 customer reviews)
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