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Modeling Derivatives in C++ (Wiley Finance)
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Binding: Paperback
Dewey Decimal Number: 332.645701135262
EAN: 9780471654643
ISBN: 0471654647
Label: Wiley
Manufacturer: Wiley
Number Of Items: 1
Number Of Pages: 768
Publication Date: September 17, 2004
Publisher: Wiley
Studio: Wiley
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Editorial Review:
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Customer Reviews
Average Rating: 
Rating:  - Bad C++ codes and bad math.
The only good thing about this book is the table of contents ( 1 generous star for that). If you've written C/C++ professionally for a living, you wouldn't stand looking at the code snippets in this book except some parts that's copied from the open source Quant Lib. Furthermore, the computational errors in the book shows you how careless the code examples are: On page 85, it has a function which is pupported to return the smallest prime greater than or equal to N:
inline long generatePrime(long ... Read More
Rating:  - Nice targeting, but some ptfalls
The subject of this book is very modern. Programming derivatives is the most hot issue nowadays. I think this book is one of the essentials for quant developers.
The problem is how much the author himself is accustomed at programming?
I found that the author used 'minus array index' many times in the contents. Does C++ supports minus array index like A[-10]? I don't think so. Perhaps I could be wrong, because I, myself, have forgot C++ programming language for several years, and IT world ... Read More
Rating:  - Great Book
There are few financial books that fill the gap between
the raw theory and the practical implementation, this
is one of the best beside Clewlow & Strickland's "Implementing
Derivatives Models".
Rating: - horrible code
I wasted too much time with the horrible code the book, it is a shame I hadn't read the other reviews before that.
most of the code in the book does not compile.
Rating: - this book does not pay off
This book has to much code (also for developers!), almost nothing of a high level description of the code (UML? some picture? APIs?), and a quite short mathematical formulation and explanation. The combination is a book that tals about everything but does not help to undersatnd nothing.
I do not know if the problem comes from the many pages (that will imply a bigger price) or to the strategy. I would prefer a better understanding of the patterns involved in the the development...
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