Customer Reviews

Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series)

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

 

 

The motivation and objective of the book are quite appealing, teaching C++ to people who want to move to quant finance. However, the job is not well implemented. I read through most of the book and were quite surprised on the number of chapters and how few contents each chapter contains. Each chapter just gently touches the surface of the subject and it hardly covers much useful knowledge of C++ compared to C++ primer and effective C++ books. If one is new to C++, do not expect to learn much from the book. If one is quite familar to C++ but has not much experience on applying C++ to quant finance, the use of this book is quite limited. Although some example codes are printed in the book, there are really few further explanation on the design and syntax of the codes.

Moreover, the book is way overpriced given its limited value. I still regret much spending 70 bucks on it.
In conclusion, it has an attractive title but is not well designed and written.

According to the author this text is supposed to serve as a self-contained introduction to C++ for beginners without any prior experience in C or C++. Unfortunately, the author's lack of didactic talent and even more so his negligence to introduce and explain key concepts like e.g. the "this" pointer (all the while making extensive use of it in his examples) would probably foil any attempt of using it in that way.

Initially, I thought the text might still be useful for people hoping to refresh prior knowledge. That is until I happened to come across the code excerpt on page 107 that almost made me fall off my chair. There, the author instead of employing a simple do-while loop actually constructs a loop using goto! On top of that, he fails to initialize a member variable (tol) in the constructor that he merrily goes on to use later on. At the same time he introduces and increments count variable (n) that has no practical use at all.

Another reviewer referred to the book as having the feel of a student's scratch pad. I have to disagree. This text is nothing but an utter embarrassment.

"After completing the reading, you will earn a 'black belt' in C++ for financial engineering". Yes, and I have a Bermudan call on the Brooklyn Bridge to sell you. Pass on this tepid offering from quality-control-challenged Wiley Finance, and go for the excellent, thoroughly-OOP book by Mark Joshi, after reading any good 'general-purpose' C++ textbook.

A reviewer below quotes the phrase "After completing the reading, you will earn a 'black belt' in C++ for financial engineering" like as it was a promise made by the author of the book. This phrase in fact belongs to one of the reviewers of this book and has nothing to do with the author's own opinion. In section 0.1 the author says "After having read this book, studied the code and done the exercises you will be in a position to appreciate how to use C++ for Quantitative Finance". So, the author's promise is far more modest than a 'black belt'.

After almost having read the book I see it as an introduction into object-oriented C++ in which explanations are made through examples from quant finance. The book doesn't teach you anything but C++, so don't expect a derivation of the Black-Scholes formula or explanations of how Binomial methods work. It assumes that you know this stuff. I think this book is the best for someone who already knows a little bit about derivative pricing, but has a limited programming experience. It will give you a quick introduction into C++ and the ability to start reading more advanced literature on the subject.

This is the third book in a never ending series of "quantitative finance"
books by an essentially unexperienced and marginal author. Daniel Duffy is
neither a professional quantitative analyst, nor a renowned academic and
possesses no peer reviewed publications in the field of finance. The author
has passing familiarity with partial differential equations and elementary numerical solution methods and it shows. All of Duffy's book possess this "studenty" scratch pad feel, which unless committed by an authority of the field is not a good thing, especially not for students of quantitative finance.

Yet, this is the author's target community and his books are marketed in a clever way to students of quantitative finance on a well known forum and with the help of J. Wiley's powerful marketing machinery.

I would strongly advise students to stay away from this book on C++ for financial engineers, because it is not and has never been a feasible solution to learn C++ and financial engineering in a wonder pill. I would recommend that students who want to be successful and integrate the financial industry, stay with books by John Hull and Mark Joshi for the basic aspects of finance and with good C++ classics such as books published by Addison Wesley.

For a book that is supposed to be an introduction to C++ as applied to finance one finds oneself driving from 0 to impenetrable in lightning speed. The real life examples that are provided such as the first example in chapter 15 are made incredibly complex. For example rather than walk you through the code in a more simplified fashion as justin london might do you are treated to a dogs dinner of embedded objects within embedded objects. I dont know what planet mr duffy lives on but unless you are a computer scientist working at Nasa with a phd in finance you are wasting your time purchasing this book. Mr Duffys book is not for the novice to C++ but rather for someone who already has a phd in computer science and did their thesis on object oriented methods. Stick with Hull, Clewlow and Strickland and Justin London and dont waste your money on this incomprehensible tome

This book is not a good introduction to C++.
Anyone with knowledge of another object oriented language such as Java can eventually figure out the code, but the author does not make it easy for you.
He constantsly makes reference to new concepts and then defers any explanation for later in the book. For example, after a piece of code which includes a virtual destructor, we are told :
"We start with the conclusion: Declare all destructors to be virtual", without any explanation of what a virutal destructor, or a virutal function is.
The code does not compile and run seamlessly in any environment. For example, using MS Visual Studio, you will need to add include "stdafx.h" at the beginning of each class before the code will compile. Of course, no book can cover every possible development environment, but surely the author could have included a few tips about compiling and running on the most common environments (eg Unix and Windows).
For a solid C++ introduction I recommend C++ : The complete Reference (by Schildt)
For a great quantitative finance book, go for "Options, Futures and Other Derivatives" by Hull.

I used this book in order to be reintroduced to C++ after a long period of using strictly C/Matlab, before taking a senior position in a R&D firm. For this purpose, I found it to be extremely useful, and written in a pleasing style.

The only querulous remark I would make is that without any experience the reader may be enervated, however it is clearly stated that some knowledge is requisite.

My background and PhD is in physics and I found the pedagogical approach of the book similar to a physics education; there is a fair degree of bootstrapping and assumed knowledge, but this in my opinion is an excellent way to teach and for a student to learn.

I strongly recommend this book as means of coming to grips with C++, as applied to real problems.

Well, this book has listed out the essential elements for option pricing using C++. You are assumed to have a basic background of C++ programming up to OOP and simple STL. All materials covered in part I and II are well written for sharpening your knowledge in STL, inheritance, polymorphism and data structures which are useful for filling the gap between C++ language and application in computational finance. In part III, a core section of this book, it lists out the most popular techniques for pricing derivatives products such as tree method, Finite difference scheme and Monte Carlo method. This book is highly recommended for the first glance in computational finance. With the full source code in the attached CD, you can self-study easily. In addition, another Duffy's book - Financial Instrument Pricing Using C++ and Justin 's book - Modeling Derivatives in C++ are good references for intermediate level learning.

This book is a great introduction to C++ for people working with or studying Quantitative Finance. I strongly recommend this book. The author is taking you from novice to a good level of understanding of C++ in a few hundred pages. I especially like the introduction to STL and the chapter on Design Patterns and how to apply them. In short a very good book.