C++ Design Patterns and Derivatives Pricing, Volume 1

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Cambridge University Press, Aug 5, 2004 - Business & Economics - 199 pages
Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.
 

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User Review  - sthitha_pragjna - LibraryThing

I wish there had been more books like this, a good medium between practical problem solving and design patterns for the derivative professional. Most other design books take watered down examples to solve. Read full review

Contents

II
1
III
2
IV
7
V
9
VI
10
VII
11
IX
12
X
13
XXXIX
71
XLI
73
XLIII
74
XLIV
77
XLV
81
XLVI
83
XLVII
86
XLVIII
88

XI
15
XII
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XIII
19
XIV
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XV
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XVI
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XVII
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XVIII
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XX
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XXI
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XXII
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XXIII
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XXV
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XXVI
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XXVII
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XXVIII
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XXIX
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XXX
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XXXI
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XXXIII
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XXXV
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XXXVI
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XXXVII
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XXXVIII
67
XLIX
89
LI
90
LII
91
LIII
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LIV
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LV
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LVI
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LVII
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LX
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LXI
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LXII
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LXIII
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LXIV
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LXV
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LXVI
110
LXVII
114
LXIX
115
LXX
118
LXXI
125
LXXIV
126
LXXV
127
LXXVI
129
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