Modeling Derivatives in C++ (Wiley Finance) Paperback – 7 Jan 2005
- Choose from over 13,000 locations across the UK
- Prime members get unlimited deliveries at no additional cost
- Find your preferred location and add it to your address book
- Dispatch to this address when you check out
Frequently bought together
Customers who bought this item also bought
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Would you like to tell us about a lower price?
If you are a seller for this product, would you like to suggest updates through seller support?
From the Back Cover
Some Things Are Just Better New
About the Author
Justin London is the founder and visionary of GlobalMaxTrading.com (GMT), The World's Online Financial Supermarket(R), a global online trading and financial technology company, as well as GlobalMaxAuctions.com, The World's Online Trading Exchange (R), a global B2C and B2B auction and trading company. He has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed--income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed--income derivatives with a focus on building interest rate models. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.
What other items do customers buy after viewing this item?
Top customer reviews
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).
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.
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.
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.
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.
Would you like to see more reviews about this item?
Most recent customer reviews
Look for similar items by category