C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
Автор
 
Год
 
Страниц
 
308
ISBN
 
ISBN10:0521721628;ISBN13:9780521721622
Издатель
 
Cambridge University Press
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Описание:

This book introduces several design patterns using finance as an example. The book is pretty thin for a $50 book, and can be read in under a week easily.

I would recommend this book to MS/PHD students who want to become quants, but did not read the GoF book yet. Overall, the book is not too bad, if you are willing to spend $50 on it(library?).

The author delivers books like hot buns, which does not look good to me. Quality beats Quantity.

Pros:
+ the code is clean and easy to read
+ covers Monte Carlo and Trees, also Excel briefly
+ the explanations are clear
+ the material progresses from easy to hard nicely

Cons:
- high price
- source code is not readily available, you would have to download it from different sources, and it will differ from the book, no makefiles
- no big projects for the reader
- PDE & interest rate models are not covered at all
- no discussion of greeks for some reason
- some important patterns are not covered
- no errata


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