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Title: Building Financial Derivatives Applications with C++: by Robert Brooks ISBN: 156720287X Publisher: Quorum Books Pub. Date: May, 2000 Format: Hardcover Volumes: 1 List Price(USD): $74.95 |
Average Customer Rating: 3.75
Rating: 5
Summary: Best Available
Comment: 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
Summary: Inefficient
Comment: 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.
This book is not written for those who care about efficiency, and in so doing, does not/will not stand the test of time.
*it is considerably faster say to evaluate x*x than it is pow(x,2).
Rating: 5
Summary: A Must Read for all Quants
Comment: This book is by far the most complete in terms of providing expert opinion and practical enlightenment regarding the use and development of derivatives pricing and risk management applications in C++.
It is a necessity for all quants, whether working at a vendor or on a desk in a bank, offering a common framework for development work and a useful bridge between the all too often 'finance knowledge'-less development team and the 'development knowledge'-less trading team.
This should be read by all students and practitioners who want to succeed in meeting the highly dynamic needs of derivative trading and risk management. Not just another 'boring' C++ tutorial but very practical tools and real-world examples from simple bond-yield calcs to ease the reader into coding, to more complex VaR and MBS pricing.
An excellent book, thnak you Mr Brooks
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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $65.00 |
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Title: Interest Rate Models by Damiano Brigo, Fabio Mercurio ISBN: 3540417729 Publisher: Springer Verlag Pub. Date: 09 August, 2001 List Price(USD): $71.95 |
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Title: Market Models: A Guide to Financial Data Analysis by Carol Alexander ISBN: 0471899755 Publisher: John Wiley & Sons Pub. Date: 15 November, 2001 List Price(USD): $105.00 |
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Title: Interest Rate Modelling: Financial Engineering by Jessica James, Nick Webber ISBN: 0471975230 Publisher: John Wiley & Sons Pub. Date: 15 January, 2000 List Price(USD): $115.00 |
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Title: Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance by Domingo Tavella ISBN: 0471394475 Publisher: John Wiley & Sons Pub. Date: 19 April, 2002 List Price(USD): $79.95 |
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