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42 of 46 people found the following review helpful:
4.0 out of 5 stars
Applied C++ Design Patterns, October 3, 2004
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.
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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
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.
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30 of 36 people found the following review helpful:
2.0 out of 5 stars
depends what you are looking at, October 13, 2005
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.
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