One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (‘write once’) and support for legacy C applications.
In this book we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ modern software engineering techniques to produce industrial-strength applications: -
Included with the book is a CD containing the source code in the Datasim Financial Toolkit that you can use directly. This will get you up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.' Paul Wilmott, mathematician, author and fund manager
Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer (www.datasim-component.com, www.datasim.nl). He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++. He can be contacted at firstname.lastname@example.org
At first I suspected the quality of the book because of the price, but I was surprised by the qualify of the book! It's really great!! Thank you! :)Published 19 months ago by Grace
While I am somewhat rusty with C++, the author did a very nice job or bringing me along slowly. My motivation in buying this book was to learn more about instrument pricing, then... Read morePublished on November 9, 2009 by Amazon Customer
It is very detailed and well written book. Finally, I found book which satisfied all my requirements. Cd with C++ code is well documented and self-explained.Published on December 20, 2008 by Boris Skorodumov
Extremely accessible and professional, both math and software side are very well done, one of the best intro books about numerical modeling and software design. Read morePublished on January 10, 2007 by Atte Saarela