| | |  | Software Engineering | Home » » » C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) | | | | | | | Description: | | Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis. | | | Product Details: | | | Author:
| Mark S. Joshi | | Hardcover:
| 214 pages | | Publisher:
| Cambridge University Press | | Publication Date:
| September 06, 2004 | | Language:
| English | | ISBN:
| 0521832357 | | Product Width:
| 174.0 centimeters | | Product Height:
| 247.0 centimeters | | Product Weight:
| 1.38 pounds | | Package Length:
| 9.76 inches | | Package Width:
| 6.85 inches | | Package Height:
| 0.47 inches | | Package Weight:
| 1.35 pounds | | Average Customer Rating:
|  based on 15 reviews |
| | | | Customer Reviews: | |
Average Customer Review:
 ( 15 customer reviews )
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42 of 46 found the following review helpful:
Applied C++ Design PatternsOct 04, 2004
By Rico Blaser
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.
15 of 16 found the following review helpful:
 From particular to general: design patterns in c++Aug 22, 2005
By Jordi Molins
"Phynance"
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.
30 of 36 found the following review helpful:
 depends what you are looking atOct 13, 2005
By Charle Dupond
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.
8 of 9 found the following review helpful:
Full of OOP Wisdom!Oct 14, 2005
By Gaurav Saroliya
In terms of programming concepts and OOP design for financial engineering, this book has no equals. We have Daniel Duffy's Financial Instrument Pricing Using C++, but it takes a different approach (i.e. generic programming based in STL). All through the book, the author introduces improvements sequentially and doesn't start from the best design from the outset in order to demonstrate the flaws of a less general/useful/reusable program. In this sense, this is mainly a conceptual book, not an example book. For example, it deals with and develops vanilla-option pricing using Monte Carlo simulation over the first five chapters. A reader looking for a cookbook that gives programs to implement a large number of financial-derivative models would be well-advised to look elsewhere (e.g. Justin London's Modeling Derivatives in C++). However, someone looking for OOP wisdom would be generously rewarded for buying this book.
4 of 4 found the following review helpful:
A great resource for entry-level quant developersJun 05, 2011
By N. Tuzov
"Nik Tuzov"
I couldn't help feeling that my good "academic" knowledge of C++ (confirmed by 98% Brainbench score) did not make me a quant developer. Here is a list of questions that I didn't know the answers for:
1) How often are the principles of OOP useful in practice? For instance, is it always a good idea to create classes and virtual functions? If not, why?
2) What technical features of C++ are important for quant development as opposed to only being used to create tricky test questions? Examples include pointers to member functions and virtual construction of objects.
3) The set of mathematical functions in the Standard Library is rather poor. It is therefore tempting to recourse to Matlab or S+/R if one needs to solve a particular quant problem. Is it possible to "boost" the computational toolbox of the Standard Library?
4) The interface provided by C++ programming systems, such as MS Visual Studio, is virtually absent compared to what can be quickly and easily done in Excel VBA. Is it possible to combine the Excel interface with C++ computational efficiency?
The book answers all of these questions by elaborating the practically relevant C++ design principles, and by introducing Boost and XLW to the reader. It builds a concise and informative bridge between the "studentwise" and industrial banks of C++ quant development. Therefore, I highly recommend it to all quant students and entry-level developers who feel that having C++ in their toolbox is a must.
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