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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)

hardcover – September 6, 2004
by Joshi, Mark S.
$131.93 USD
$131.93 USD
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ISBN-13: 9780521832359 ISBN-10: 0521832357
Publisher
Cambridge University Press
Binding
hardcover
Published
September 6, 2004
Weight
1.4 lbs
Dimensions
25.40×1.90×17.80 cm

About this book

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2) by Joshi, Mark S.. hardcover edition. ISBN: 9780521832359.

Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis.