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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
by: Mark S. Joshi

List Price: £29.99

Off The Bookshelf's Price: £28.49

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Used Price: £24.79
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Availability: Usually dispatched within 24 hours Binding: Paperback
Dewey Decimal Number: 332.632
EAN: 9780521721622
ISBN: 0521721628
Label: Cambridge University Press
Manufacturer: Cambridge University Press
Number Of Items: 1
Number Of Pages: 308
Publication Date: May 31, 2008
Publisher: Cambridge University Press
Studio: Cambridge University Press
Sales Rank: 122605

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Customer Reviews

Average Rating: out of 5 stars

Rating:

- Where are the pictures?
This book tries to enforce good C++ programming practices, in particular design patterns, for options pricing, with a hands-on approach, concisely and clearly.

The main drawback is the lack of diagrams: when designing object oriented programs, you draw a lot of doodles (learned people call them "UML diagrams", but they are just doodles), that are useful to clarify your ideas and to communicate them. Why is there none? I checked other C++ finance books, and they all had the same problem -- if you plan to write yet another C++ finance book, you know what not to forget...

You are probably better off with a more general book about "good programming practices" (including, but not limited to, design patterns: Design Patterns, ... Read More:

Rating:

- Good, all the code works.
Unlike many textbooks, all the code in Joshi's book works and compiles. However, do save yourself time and get the latest version of the code from his website, forget the bundled CD.

Joshi not only explains quickly how to implement the basic pricing techniques (trees, monte carlo), but also offers some good guidance on modern OO C++ techniques (patterns) along the way.

My only criticism is that the book is too short. I would have gladly read another 50% on top.

Rating:

- A Superb, Practical Introduction to Quant Programming
This book stands out because it has clearly been written by a quant practitioner rather than a pure theorist. It regularly focuses on the real life challenge of producing a performant, maintainable system which can be enhanced over time with minimal impact.

Though it does not claim to be an introduction to C++ or Mathematical Finance, its onion-skin approach is effective in guiding those with a very basic knowledge in these two areas into some reasonably advanced terrain.

Rating:

- A fast-paced introduction to sophisticated C++
C++ is a big language. It has a lot of features and even more in the way of clever ideas for combining these features to create effective code. Most books on the subject are dauntingly huge, at least to the novice. Perhaps the greatest virtue of this book is that it covers a lot of ground while being slim enough (under 200 widely-spaced pages) to be easily read from cover to cover.

The book is clearly aimed at those in quantitative finance and the examples are designed to be of genuinely useful code that a quant might write. This is a refreshing change from more general books where the examples are either silly ("a Sauternes is inherited from a Bordeaux and has a pour() member function") or do the kind of low-level manipulation (such as ... Read More:

Rating:

- The boss and his/her requests
Having implemented mathematical finance solutions in a variety of programming languages, I found in Joshi's book the ideal guide to move to the C++ way of doing things.
The book certainly requires some knowledge of C++ (at least an introductory book) but leads the reader through a learning process focused on the reasons why C++ is the most used language in financial engineering.
It starts for the simplest non-OO implementation, highlighting (pros and) cons, and then moves on to the appropriate C++ solution. In the way, fundamental design patterns are introduced and used (strategy, decorator, bridge...). By the end of the book the reader will have seen how to build a Monte Carlo engine for exotic options and how to simplify its interface ... Read More:

Books : C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)