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 C++ Design Patterns and Derivatives Pricing (Mark S. Joshi)Applied C++ Design Patterns.  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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25 of october Profiting from U.S. presidential elections might just be the ultimate form of democratic capitalism. So when the media spin surrounding the 2004 elections started gaining momentum, I decided to join the politically inspired pollsters and bumper sticker peddlers in finding and exploiting the inefficiencies resulting from predicting election results. I suppose it should not have been surprising that the time tested Arbitrage Pricing Theorem was equally applicable in the political arena...