Mark Suresh Joshi, "C++ Design Patterns and Derivatives Pricing"
English | 2 edition | English | 2008-06-09 | ISBN: 0521721628 | 310 pages | PDF | 2 mb
Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling.