| Newsletter | | Be notified of the latest releases.
We won't spam, share or barter your email address. |
|
|
| Information | | [none entered] |
|
|
|
| Modeling Derivatives in C++ (Wiley Finance) | 
 enlarge | Author: Justin London
Publisher: Wiley
Category: Book
List Price: $95.00
Buy New: $51.57
You Save: $43.43 (46%)
New (20) Used (7) from $39.99
Avg. Customer Rating:  31 reviews
Media: Paperback
Number Of Items: 1
Pages: 768
Shipping Weight (lbs): 3.1
Dimensions (in): 9.1 x 7.6 x 1.9
ISBN: 0471654647
Dewey Decimal Number: 332.645701135262
UPC: 723812667086
EAN: 9780471654643
Publication Date: September 17, 2004
Availability: Usually ships in 1-2 business days
Condition: Brand New, Perfect Condition, Please allow 4-14 business days for delivery. 100% Money Back Guarantee, Over 1,000,000 customers served.
|
| Editorial Reviews:
Product Description
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: Read 26 more reviews...
 Outdated contents October 23, 2008
This book would been a nice book if it were 4 years ago.
What JL tried was right, but it is simply outdated.
This book is filled with good explanations and examples of many codes,
mostly based on the libraries from pre 2004 version of Quantlib.
So simply the codes are not compilable without tremendous amount of
debugging processes.
You have to see through all the provided source codes and compare them with the current version of Quantlib libraries.
If you're an expert in C++, especially in debugging, this is a good one.
If you want to learn things from debugging, this is your go.
Otherwise, step away from it and try other references.
 Bad C++ codes and bad math. October 22, 2007
13 out of 13 found this review helpful
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 N) {
Long i = N;
bool flag = false;
do {
// check if number is prime
if( ( i%2 != 0 ) && (i%3!=0) && (i%4 != 0) && (i%5 != 0) && (i%6 != 0)
&& (i%7 != 0) && (i%8 !=0) && (i%9 != 0) )
flag = true;
else
i++;
} while ( flag != true);
return i;
}
Is this a great mathematical discovery or what? Try this function with N=121! Just don't bet any money on it!
 Nice targeting, but some ptfalls October 5, 2007
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 changes so fast.
But any programmers didn't confirm that C++ supports negative array index. Maybe JAVA does? I don't know. Anyway, the thing is that the source code in the book is not compilable without some deep experience. In those levels, I think Wilmott's code or (financial) recipes are more reliable and easy to handle.
Absolutely, this bookk is one of front runners. But don't expect too much.
 Great Book July 19, 2007
1 out of 4 found this review helpful
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".
horrible code July 4, 2007
7 out of 7 found this review helpful
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.
|
|
|
. | |
