C++ Design Patterns and Derivatives Pricing

C++ Design Patterns and Derivatives Pricing

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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.Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error.

Title:C++ Design Patterns and Derivatives Pricing
Author: Mark Suresh Joshi
Publisher:Cambridge University Press - 2004

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