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Building Financial Derivatives Applications with C++:
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Author: Robert Brooks
List Price: $78.95
Our Price: Click to see the latest and low price
ISBN: 156720287X
Publisher: Quorum Books (30 March, 2000)
Edition: Hardcover
Sales Rank: 55,664
Average Customer Rating: 3.75 out of 5
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Customer ReviewsRating: 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).
Rating: 5 out of 5
A Must Read for all Quants
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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