C++ Design Patterns and Derivatives Pricing

Mark S. Joshi - Collection Mathematics, Finance and Risk

200 pages, parution le 30/06/2004

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Résumé

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern.

Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer.

Sommaire

A simple Monte Carlo model
Encapsulation
Inheritance and virtual functions
Bridging with a virtual constructor
Strategies, decoration and statistics
A random numbers class
An exotics engine and the template pattern
Trees
Solvers, templates and implied volatilities
The factory
Design patterns revisited

Appendix A Black-Scholes formulas
Appendix B Distribution functions
Appendix C A simple array class
Appendix D The code

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Mark S. Joshi
Collection	Mathematics, Finance and Risk
Parution	30/06/2004
Nb. de pages	200
Format	17,5 x 25,5
Couverture	Broché
Poids	620g
Intérieur	Noir et Blanc
EAN13	9780521832359