Mark Joshi – C++ Design Patterns and Derivative Pricing (2nd edition)

Description

Design patterns are the cutting-edge paradigm for programming in C++, and they’re right here mentioned in depth utilizing examples from monetary arithmetic. Assuming solely a primary information of C++ and mathematical finance, the reader learns tips on how to produce well-designed, structured, reusable code by way of carefully-chosen examples. This new version contains a number of new chapters overlaying subjects of accelerating robustness within the presence of exceptions, designing a generic manufacturing facility, interfacing C++ with EXCEL, and enhancing code design utilizing the thought of decoupling. Complete ANSI/ISO suitable C++ supply code is hosted on an accompanying web site for the reader to check intimately, and reuse as they see match. Whether you’re a pupil of monetary arithmetic, a working quantitative analyst or monetary mathematician, you want this e-book. Offering sensible steps for implementing pricing fashions for complicated monetary merchandise, it’ll rework your understanding of tips on how to use C++.

Biography

Mark Joshi obtained a B.A. in arithmetic (prime of yr) from the University of Oxford in 1990, and a Ph.D. in pure arithmetic from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer within the division of pure arithmetic and mathematical statistics at Cambridge University from 1994 to 1999. Following which he labored for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at quite a lot of ranges, ending because the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies on the University of Melbourne in November 2005. He is a professor there.

His newest e-book “More mathematical finance” was printed in September 2011.

Review

‘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

‘This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems.’ Journal of the American Statistics Association

‘This book, although it is quite short, does cover a significant amount of material and does deal with some fairly advanced topics that are important to practitioners. The real strength of the book is its clarity and conciseness.’ SIAM Review

Book Description

Using carefully-chosen examples, this e-book explains tips on how to create well-designed, structured, reusable code, significantly for monetary functions. New chapters clarify interfacing C++ with EXCEL, designing a generic manufacturing facility, and enhancing code design with decoupling. Complete ANSI/ISO suitable C++ supply code is hosted on an accompanying website.

About the Author

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