Back to www.markjoshi.com
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.
I have now created a bulletin board to make it easy for readers to ask questions and discuss details in the book.
"This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems." Journal of the American Statistics Association, Ana-Maria Matache
'This is a short book, but an elegant one. It would serve as an excellent course text for a course on the practical aspects of mathematical finance.' International Statistical Institute
Strongly recommended by quantfinancejob.com
"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.
"
It is, however, a very good book for someone already working in the finance
industry who doesn’t have a lot of free time and doesn’t want to learn things
that are probably not relevant. C++ has many features, and there are many ways
of combining them to develop good codes. Although Joshi’s treatment of design
tools is not exhaustive, enough is provided so that the reader develops a sense
of how to use them. The book does not focus on syntactical rules, but rather
on when to use the language features that can be useful in financial applications.
Many books on C++ are very large and cover much material that is not important
to a quant. This book, although it is quite short, does cover a significant
amount of material and does deal with some fairly advanced topics that are important
to practitioners. The real strength of the book is its clarity and conciseness.
It is because Joshi writes so well that the reader may wish he had covered more.
Joshi has written another book, The Concepts and Practice of Mathematical Finance,
where he covers the finance topics that aren’t covered in this book. At least
one of us plans to buy that book
Anita Mayo, SIAM Review
Back to www.markjoshi.com