C++ design patterns and derivatives pricing Mark S. Joshi.
By: Joshi, M. S. (Mark Suresh).
Series: Mathematics, finance and risk: Cambridge, UK ; New York Cambridge University Press 2008Edition: 2a. edición.Description: xvi, 292 páginas 25 cm.ISBN: 9780521721622.Other title: C Plus Plus design patterns and derivatives pricing.Subject(s): Derivative securities -- Prices -- Mathematical models | C++ (computer program language) | Business mathematics | Matematicas financieras | C++ (lenguaje de programación de computador) | Valor derivado -- Cotizaciones -- Modelos matemáticosDDC classification: 658.152Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros | Biblioteca Central | General | 658.152 / J83c (Browse shelf) | Ej. 1 | Available | 8000022278 |
Browsing Biblioteca Central Shelves , Collection code: General Close shelf browser
658.152 / C227m Matemáticas financieras : | 658.152 / C737c Complex systems in finance and econometrics / | 658.152 / C737c Complex systems in finance and econometrics / | 658.152 / J83c C++ design patterns and derivatives pricing | 658.152 / J83t The Concepts and practice of mathematical finance | 658.152 / L864e Evaluación económica / | 658.152 / L864e Evaluación económica / |
Incluye referencias bibliográficas (p.287-288) e índice.
A simple Monte Carlo model -- Encapsulation -- Inheritance and virtual functions -- Bridging with a virtual constructor -- Strategies, decoration, and statisties -- A random numbers class -- An exotics engine and the template pattern -- Trees -- Solvers, templates, and implied volatilities -- The factory -- Design patterns revisited -- The situation in 2007 -- Exceptions -- Templatizing the factory -- Interfacing with Excel -- Decoupling
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