C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) (Hardcover)

~ Mark S. Joshi (Author) "In the first part of this book, we shall study the pricing of derivatives using Monte Carlo simulation..." (more)
Key Phrases: Monte Carlo, Exercises Exercise, Payoff Call (more...)

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 --This text refers to the Paperback edition.

Review

"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, Ana-Maria Matache

"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."
Anita Mayo, Sherman Wong, Baruch College, CUNY, SIAM Review

See all Editorial Reviews

Product Details

• Hardcover: 214 pages
• Publisher: Cambridge University Press (September 6, 2004)
• Language: English
• ISBN-10: 0521832357
• ISBN-13: 978-0521832359
• Product Dimensions: 9.8 x 6.8 x 0.5 inches
• Shipping Weight: 1.4 pounds
• Average Customer Review: 4.1 out of 5 stars  See all reviews (13 customer reviews)
• Amazon.com Sales Rank: #798,826 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

39 of 43 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)

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.

11 of 12 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)

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.

24 of 30 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 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.