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C++ Design Patterns and Derivatives Pricing.

Publication: Journal of the American Statistical Association
Publication Date: 01-SEP-05 		Format: Online
Delivery: Immediate Online Access
Full Article Title: C++ Design Patterns and Derivatives Pricing.(book by Mark Joshi)(Book Review)

Article Excerpt
C++ Design Patterns and Derivatives Pricing.

Mark JOSHI. New York: Cambridge University Press, 2003. ISBN 0-521-83235-7. xiii + 199 pp. + CD. $55.00.

C++ Design Patterns and Derivatives Pricing examines aspects of mathematical finance and explains how concepts like derivative pricing can be approached using object-oriented programming techniques. The theory of option pricing is revisited, and the two most common pricing techniques, the Monte Carlo and the...

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