Building Financial Derivatives Applications with C++:
Author: Robert Brooks
List Price: $99.95
Our Price: Click to see the latest and low price
ISBN: 156720287X
Publisher: Quorum Books (30 March, 2000)
Sales Rank: 79,678
Average Customer Rating: 3.89 out of 5
Customer Reviews
Rating: 5 out of 5
A must book for MBA's/MS in financial engineering
This book has the contents that a graduate student will look for in a course that covers derivatives application development using C++. Dr. Brooks book is by far the best I have ever scanned for the purpose of finance. For a quant analyst position it is important to understand how to generate various mathematical tools using C++ and the book covers such code in details. The book covers Lattice based solutions through extensive coding of Black Derman and Toy, Monte Carlo simulation, curve fitting techniques and iterative numerical solutions technique .The most attractive part of this book is the simplistic approach to mathematical complexities and Dr. Brooks excels in handling the mathematics and the language. His examples are in Borland C++ so VC or other C users need not be intimidated as the basic C++ principles are the same for any type of proprietary C++ language. In fact Borland is a good way to get introduced to the visual C++ modeling approach at the graduate level, it definitely reduces the entry barrier into coding.
Rating: 5 out of 5
Best Available
If you have shopped around you may be aware that this is one of the only books available that is dedicated to pricing derivatives using C++. Perhaps like me as a student of Pure and Applied Mathematics you have wondered why all those Financial Engineering grad schools are pushing so hard for C++.
You can expect that this book will introduce you to a set of traditional algorithms for option pricing at a basic level. It will be helpful if you already know standard C++, and also if you have seen mathematical models of what is being implemented here.
The bottom line is that this is the best available book dedicated to this subject of derivative pricing and C++. If it is not written in your favourite compiler, just be thankful it isn't written in Java. If you cannot convert the source code, which Dr. Brooks will provide upon request, then you probably won't get in to grad school.
Rating: 2 out of 5
Inefficient
If one merely times (cpu time) the binomial lattice implementation found in this book (the simplest option pricing model imaginable!), one will quickly see why this book is no more efficient than it is valuable, for code that is roughly twenty times slower than code that simply avoids such practices as unecessarily calling the "pow()" function* is code wrought via hodgepodge and not innovation. But in all fairness it provides a vast index of necessary functions for those taking courses in computational finance, i.e., it is well suited for use in an academic, non-professional setting, where efficiency is secondary in most users' desirata.
And of course it's always possible to find ways to speeden things up onself.
However, do not expect the book to cultivate -- whatsoever -- ways to make things faster; by necessity then, expect it to cultivate ways to make things slower.
*it is considerably faster say to evaluate x*x than it is pow(x,2).
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