Customer Reviews

Financial Instrument Pricing Using C++ (The Wiley Finance Series)

5 star:		(5)
4 star:		(1)
3 star:		(0)
2 star:		(0)
1 star:		(4)

 

 

The code is a real mess. Source files are missing, class member variables not defined, calls made to misspelled functions, basic syntax errors. Here are a few of the problems I have run into:
- Missing Source Files:: BVPmechanisms.hpp. So files like BVPSOlver.cpp can't compile
- Undefined members variables: AssocArray::contents. Can't build without it
- Basic syntax errors: (if ass2 == this). Should be if(ass2 == this)
- Incorrect function calls: standardDeviation(). Should be standardDeviation(x)

Aside from all the kindergarten errors, the author over uses templates to such an extent that simple routines are hopelessly obfuscated.

I think he built it on an old version of Visual C++. This is because the code fails to build on modern compilers with tighter error checking.

I have no idea why the other guys love this book so much, they must never have tried to build any of the examples in it ... which is weird because the whole reason I bought the book was to begin building a library of financial tools.

Let me just say that I have a few financial modelling books, from Dr. Brooks to Mr. Joshi, and this is the best book by far. It clearly explain how to price a particular instruments using this poweful language. The book uses Standard Template Language (STL), by doing so your code are more readable and much faster. If I only had this book a few years back. Now I must say this book is for C++ programmers and Quants you really need to know C++ from beginning to end, templates, pointers, references, classes or that stuff you need it. This is the only book that comes with working code, it doesn't matter what type of compiler you have the code in the CD will work. Mr. Duffy explains how to model one factor and two factor Black-Scholes equations using finite differences, options(vanilla, exotic),interest rate and much more. The CD even comes with an Excel driver to transfer your data to Excel. Quant superstar Justin London is coming with his new book in a few months, and that book might over take this one, but as of right now this is the best C++ financial pricing book around. You can't go wrong with this one.

This book encapsulates all that is wonderful about OOP and shows how generic programming techniques (based on the STL) can be effectively applied to financial engineering and numerical analytic problems. The book requires only a first-course level knowledge of C++ (at the level of for example Ivor Horton's Beginning C++) and a first course level knowledge of Financial Mathematics (at the level of for example John Hull's masterpiece) and takes the reader on an entertaining journey through the basics of the STL and the applications of STL constructs to computational-financial and numerical-analytic problems, especially those relating to the numerical solution of partial differential equations. Also, the author makes a persuasive case for finite-difference methods and deals with a few subtleties of the Crank-Nicholson algorithm. For best results, it should be read along with a decent book on the Standard Library (for example the one by Nicolai Josuttis). Overall, it's a pleasure to read and learn from, on a par with Mark Joshi's little design-patterns volume, and more detailed!

This book is high on quantity and low on quality. The author clearly can't teach and his lack of clarity of thought is a little concerning to say the least. The quality here is so below par it's a wonder why Wiley bother to publish this kind of book without some kind of quality control standards in place. With his rambling and imprecise style, it's actually hard to believe this guy has a PhD - some of the undergraduate students I've taught in the past have handed in better coursework than this. You're better off buying a general book on C++ such as Meyers or even Stroustrup and simply applying the C++ techniques you'll actually learn in there to QF. Save yourself some hard-earned money and buy another C++ book.

I had been trying to build up the examples Daniel has been using. The CD comes with the book is a full mess. These are clearly not organized. No structure in the directory, several chapters are missing in the CD, code still have bugs, no make files.

I am thinking about email Dan for a refund. This book does not deserve the price he charge.

It's theoritical book . Few examples. Not givien much idea about various instrument pricing.

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 programming. So in either case, I rate the book very high. I would highly recommend this to anyone on the path of becoming a Quant.

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. The finite difference methods in this book are very powerful.

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.

implementation and design of classes wise this book is replete with ideas. Since this book dealt with FDM, which are either cubbersome or difficult to program say american options, better is to deal with FE methods.