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Modeling Derivatives in C++, by Justin London
Download PDF Modeling Derivatives in C++, by Justin London
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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.
- Sales Rank: #1547575 in Books
- Published on: 2004-09-17
- Original language: English
- Number of items: 1
- Dimensions: 9.30" h x 1.68" w x 7.62" l, 3.14 pounds
- Binding: Paperback
- 768 pages
From the Back Cover
Some Things Are Just Better New
About the Author
JUSTIN LONDON has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed-income derivatives with a focus on building interest rate models. In 1999, he founded Global Max Trading (GMT), a global online trading and financial technology company. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.
Most helpful customer reviews
24 of 24 people found the following review helpful.
Bad C++ codes and bad math.
By Fangbing Wu
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!
39 of 42 people found the following review helpful.
weak
By stochasticmind
The codes in the book which are not from the freely distributed source are not properly integrated. The Author claims
that he has written various classes and objects but you can
find few "main()" program in the book that allows you to see
if and how all these classes actually work
by instantiating the classes as working objects and
testing them. A big collection of code fragments, even if it all works, which we cannot be sure of, is not very helpful.
24 of 25 people found the following review helpful.
A very good book to test how you understand models.
By L. Chen
Tons of errors in Code. Tons of errors in text. If you can walk around all these errors, you will become a master of derivative modelling.
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