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C++ design patterns and derivatives pricing

Author: M S Joshi
Publisher: Cambridge, UK ; New York : Cambridge University Press, 2004.
Series: Mathematics, finance, and risk.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Shows how to combine mathematical finance and object-oriented programming to practical effect.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: M S Joshi
ISBN: 0521832357 9780521832359
OCLC Number: 53186630
Notes: "Complete ANSI/ISO-compatible"--RC-ROM.
Description: xiii, 199 pages ; 26 cm + e 1 CD-ROM (4 3/4 in.).
Contents: 1. A simple monte carlo model --
2. Encapsulation --
3. Inheritance and virtual functions --
4. Bridging with a virtual constructor --
5. Strategies, decoration and statistics --
6. A random numbers class --
7. An exotics engine and the template pattern --
8. Trees --
9. Solvers, templates and implied volatilities --
10. The factory --
11. Design patterns revisited --
Appendixes: --
A. Black-Scholes formulas --
B. Distribution functions --
C.A simple array class --
D. The code --
E. Glossary.
Series Title: Mathematics, finance, and risk.
Other Titles: C Plus Plus design patterns and derivatives pricing
Responsibility: Mark S. Joshi.
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'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

 
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