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Description - C++ Design Patterns and Derivatives Pricing by M.S. Joshi

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++.

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Book Details

ISBN: 9780521721622
ISBN-10: 0521721628
Format: Paperback
(247mm x 174mm x 16mm)
Pages: 306
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 22-May-2008
Country of Publication: United Kingdom

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Author Biography - M.S. Joshi

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

Books By M.S. Joshi

Concepts and Practice of Mathematical Finance by M.S. Joshi
Hardback, October 2008