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Financial Instrument Pricing Using C++ Hardcover – July 30, 2004
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From the Back Cover
In this book we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ modern software engineering techniques to produce industrial-strength applications: -
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra …)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ‘Gang of Four’ Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit that you can use directly. This will get you up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.' Paul Wilmott, mathematician, author and fund manager
About the Author
Top Customer Reviews
- 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.
I am thinking about email Dan for a refund. This book does not deserve the price he charge.
Most Recent Customer Reviews
At first I suspected the quality of the book because of the price, but I was surprised by the qualify of the book! It's really great!! Thank you! :)Published on January 25, 2014 by Grace
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... Read morePublished on November 9, 2009 by Amazon Customer
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.Published on December 20, 2008 by Boris Skorodumov
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. Read morePublished on January 10, 2007 by Atte Saarela