C++ Design Patterns and Derivatives Pricing

2. Auflage 2008
ISBN: 978-0-521-72162-2
Verlag: Cambridge University Press

Buch, Englisch, Band 2, 306 Seiten, Format (B × H): 170 mm x 244 mm, Gewicht: 538 g

Reihe: Mathematics, Finance and Risk

Design patterns are the cutting-edge paradigm for programming in C++, and they are here discussed in depth using examples from financial mathematics. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.

Autoren/Hrsg.

Joshi, M. S.

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik EDV | Informatik Business Application Mathematische & Statistische Software
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsinformatik, SAP, IT-Management
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

Preface; 1. A simple Monte Carlo model; 2. Encapsulation; 3. Inheritance and virtual functions; 4. Bridging with a virtual constructor; 5. Strategies, decoration and statistics; 6. A random numbers class; 7. An exotics engine and the template pattern; 8. Trees; 9. Solvers, templates and implied volatilities; 10. The factory; 11. Design patterns revisited; 12. The situation in 2007; 13. Exceptions; 14. Templatizing the factory; 15. Interfacing with EXCEL; 16. Decoupling; A. Black–Scholes formulas; B. Distribution functions; C. A simple array class; D. The code; Bibliography; Index.

Über Autor(innen)

Joshi, M. S.
Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne.