M S JoshiCambridge University PressEdition: 2, 5/22/2008EAN 9780521721622, ISBN10: 0521721628Paperback, 310 pages, 24.4 x 17 x 1.8 cmLanguage: EnglishDesign 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++.Preface1. A simple Monte Carlo model2. Encapsulation3. Inheritance and virtual functions4. Bridging with a virtual constructor5. Strategies, decoration and statistics6. A random numbers class7. An exotics engine and the template pattern8. Trees9. Solvers, templates and implied volatilities10. The factory11. Design patterns revisited12. The situation in 200713. Exceptions14. Templatizing the factory15. Interfacing with EXCEL16. DecouplingA. Black–Scholes formulasB. Distribution functionsC. A simple array classD. The codeBibliographyIndex.'This is a short book, but an elegant one. It would serve as an excellent course text for a course on the practical aspects of mathematical finance.' International Statistical Institute
