C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) [Paperback]

M. S. Joshi (Author)

Book Description

ISBN-10: 0521721628 | ISBN-13: 978-0521721622 | Publication Date: June 9, 2008 | Edition: 2

Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++.

Editorial Reviews

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 book explains how to create well-designed, structured, reusable code, particularly for financial applications. New chapters explain interfacing C++ with EXCEL, designing a generic factory, and improving code design with decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying web site.

See all Editorial Reviews

Product Details

• Paperback: 308 pages
• Publisher: Cambridge University Press; 2 edition (June 9, 2008)
• Language: English
• ISBN-10: 0521721628
• ISBN-13: 978-0521721622
• Product Dimensions: 9.6 x 6.8 x 0.7 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Average Customer Review: 4.2 out of 5 stars  See all reviews (15 customer reviews)
• Amazon Best Sellers Rank: #297,545 in Books (See Top 100 in Books)

More About the Author

Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005 as an associate professor and is now a full professor.

His latest book: "More mathematical finance" was published in September 2011.

Customer Reviews

Most Helpful Customer Reviews

42 of 46 people found the following review helpful:

4.0 out of 5 stars Applied C++ Design Patterns, October 3, 2004

By 

Rico Blaser (San Francisco, CA United States) - See all my reviews
(REAL NAME)   

This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)

Joshi does not intend to teach financial mathematics in this text. To learn about this topic, you can read his other book "The Concepts and Practice of Mathematical Finance". Joshi also doesn't try to provide an introduction to C++ programming -- there are plenty of good books on this topic.

Instead, the author does an excellent job of demonstrating how common C++ design patterns (templates, wrappers, decorators, bridges, factories, and so on) can be applied to price financial derivative instruments.

The book develops reusable components that are subsequently combined in a simple Monte Carlo framework, capable of pricing certain path-dependent European options. Another section uses Binomial Trees to tackle the early exercise challenges presented by American options.

The aim of the book is to allow the reader to develop an intuition for using the design tools rather than to provide an exhaustive framework. As a consequence, more complex instruments -- including any credit or interest rate dependent products -- are not covered. Finite difference methods are also not presented. But the design tools described are equally applicable to these areas.

Bottom line: "C++ Design Patterns and Derivatives Pricing" is a good addition to your quant library.

15 of 16 people found the following review helpful:

5.0 out of 5 stars From particular to general: design patterns in c++, August 22, 2005

By 

Jordi Molins "Phynance" (a poor spanish lost in the middle of Europe) - See all my reviews
(REAL NAME)   

This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)

In principle, it seems that this book is a very specialized one: design patterns in derivatives pricing. However, Mark Joshi has been able to give ideas that are generalizable to many other fields. For example, I have developed a trading simulator in c++ using several of the ideas of the book. The ideas in the book are so general, that very often one can do simply a copy and paste and just change the names of the classes and variables.

The only complaint to the writer is that he does not supply the answers to the questions of the book. This is standard practice in academia (and there is a good reason for it), but this book is designed mainly for practitioners, that probably do not have too much time to solve difficult questions.

The writer is widely known in forums like nuclearphynance and wilmott for his deep comments about derivatives pricing.

Disclosure: I only know Mark Joshi because I have sent him an email with some questions about the book. He very kindly has replied to me. I do not have any other kind of relation with him.

30 of 36 people found the following review helpful:

2.0 out of 5 stars depends what you are looking at, October 13, 2005

By 

Charle Dupond (London) - See all my reviews

This review is from: C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)

This small book (192 pages) is pretty expensive but if it brings you a lot it is OK.

It depends what you are looking at:

If you want a book "how to write a clean C++ program", this book is for you. The authors enhance the formal (and correct) writing you should have when coding.

If you are interested in understand and solve the various problems you encounter implementing derivatives with numerous examples, it is not the good book for you. There are few programs so few examples and solutions. Moreover I have to dig in his classes to understand them. I would have preferred static functions, even if I have to do a little work to implement them in my library.

However from my point of view, the biggest reproach to this book is that it does not treat the interest rate derivatives at all, which is really problematic.

So it was not really interesting. The Clewlow was much better for me.