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C++ Design Patterns and Derivatives Pricing
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 ...more
Hardcover, 214 pages
Published August 1st 2004 by Cambridge University Press
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The "design patterns" were only used for trivial examples. The book spends a good bit of time explaining basic C++ (things anyone who has read and understood Stroustrup's "The C++ Programming Language" will be very familiar with), but defers nearly all explanation of the pricing models described to other texts. This didn't seem like it was writen by someone who had actually built a real derivatives trading system in C++.
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