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 Newly updated second edition and now in paperback! This is the first book on implementing financial models using object-oriented C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader learns how to produce well-designed, structured, reusable code via carefully-chosen examples. This new edition includes several new chapters covering topics of increasing robustness in the presence of exceptions, designing a generic factory, interfacing C++ with EXCEL, and improving code design using the idea of decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying website for the reader to study in detail, and reuse as they see fit. Whether you are a student of financial mathematics, a working quantitative analyst or financial mathematician, you need this book. Offering practical steps for implementing pricing models for complex financial products, it will transform your understanding of how to use C++. "Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed 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. This new edition includes several new chapters describing how to increase robustness in the presence of exceptions, how to design a genetic factory, how to interface C++ with EXCEL, and how to improve code design using the idea of decoupling ... A good understanding of C++ design is a necessity for working financial mathematics; this book provides a thorough introduction to the topic."--Book cover "Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed 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, reusable code via concrete examples. This new edition includes several new chapters describing how to increase robustness in the presence of exceptions, how to design a generic factory, how to interface C++ with EXCEL, and how to improve code design using the idea of decoupling ... A good understanding of C++ design is a necessity for working financial mathematics; this book provides a thorough introduction to the topic"--Back cover Using carefully-chosen examples, this book explains how to create well-designed, structured, reusable code, particularly for financial applications. New chapters explain interfacing C++ with EXCEL, designing a generic factory, and improving code design with decoupling. Complete ANSI/ISO compatible C++ source code is hosted on an accompanying web site.
