| Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series) |  | Author: Daniel J. Duffy
Publisher: Wiley
List Price: $115.00
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Rating:  10 reviews
Media: Hardcover
Pages: 438
Number Of Items: 1
Shipping Weight (lbs): 2.2
Dimensions (in): 9.8 x 6.9 x 1.3
ISBN: 0470015381
Dewey Decimal Number: 005.133024332
EAN: 9780470015384
ASIN: 0470015381
Publication Date: December 13, 2006
Availability: Usually ships in 1-2 business days
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Product Description
This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required. - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: - C++ fundamentals and object-oriented thinking in QF
- Advanced object-oriented features such as inheritance and polymorphism
- Template programming and the Standard Template Library (STL)
- An introduction to GOF design patterns and their applications in QF Applications
The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book contains a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620) Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
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| Customer Reviews:
Showing reviews 1-5 of 10
 a bellwether August 18, 2009
William J. Brouwer (Maryland, USA)
I used this book in order to be reintroduced to C++ after a long period of using strictly C/Matlab, before taking a senior position in a R&D firm. For this purpose, I found it to be extremely useful, and written in a pleasing style.
The only querulous remark I would make is that without any experience the reader may be enervated, however it is clearly stated that some knowledge is requisite.
My background and PhD is in physics and I found the pedagogical approach of the book similar to a physics education; there is a fair degree of bootstrapping and assumed knowledge, but this in my opinion is an excellent way to teach and for a student to learn.
I strongly recommend this book as means of coming to grips with C++, as applied to real problems.
 Disappointing July 14, 2009
Fitz (Chicago)
1 out of 1 found this review helpful
This book is not a good introduction to C++.
Anyone with knowledge of another object oriented language such as Java can eventually figure out the code, but the author does not make it easy for you.
He constantsly makes reference to new concepts and then defers any explanation for later in the book. For example, after a piece of code which includes a virtual destructor, we are told :
"We start with the conclusion: Declare all destructors to be virtual", without any explanation of what a virutal destructor, or a virutal function is.
The code does not compile and run seamlessly in any environment. For example, using MS Visual Studio, you will need to add include "stdafx.h" at the beginning of each class before the code will compile. Of course, no book can cover every possible development environment, but surely the author could have included a few tips about compiling and running on the most common environments (eg Unix and Windows).
For a solid C++ introduction I recommend C++ : The complete Reference (by Schildt)
For a great quantitative finance book, go for "Options, Futures and Other Derivatives" by Hull.
Disappointing quant C++ book August 31, 2007
Min Liu (TX USA)
13 out of 13 found this review helpful
The motivation and objective of the book are quite appealing, teaching C++ to people who want to move to quant finance. However, the job is not well implemented. I read through most of the book and were quite surprised on the number of chapters and how few contents each chapter contains. Each chapter just gently touches the surface of the subject and it hardly covers much useful knowledge of C++ compared to C++ primer and effective C++ books. If one is new to C++, do not expect to learn much from the book. If one is quite familar to C++ but has not much experience on applying C++ to quant finance, the use of this book is quite limited. Although some example codes are printed in the book, there are really few further explanation on the design and syntax of the codes.
Moreover, the book is way overpriced given its limited value. I still regret much spending 70 bucks on it.
In conclusion, it has an attractive title but is not well designed and written.
 A rather pointless and useless book March 18, 2007
David-Michael Lincke
15 out of 16 found this review helpful
According to the author this text is supposed to serve as a self-contained introduction to C++ for beginners without any prior experience in C or C++. Unfortunately, the author's lack of didactic talent and even more so his negligence to introduce and explain key concepts like e.g. the "this" pointer (all the while making extensive use of it in his examples) would probably foil any attempt of using it in that way.
Initially, I thought the text might still be useful for people hoping to refresh prior knowledge. That is until I happened to come across the code excerpt on page 107 that almost made me fall off my chair. There, the author instead of employing a simple do-while loop actually constructs a loop using goto! On top of that, he fails to initialize a member variable (tol) in the constructor that he merrily goes on to use later on. At the same time he introduces and increments count variable (n) that has no practical use at all.
Another reviewer referred to the book as having the feel of a student's scratch pad. I have to disagree. This text is nothing but an utter embarrassment.
 The first step to learn C++ in quantitative finance February 23, 2007
Kenny Chan (Hong Kong)
3 out of 3 found this review helpful
Well, this book has listed out the essential elements for option pricing using C++. You are assumed to have a basic background of C++ programming up to OOP and simple STL. All materials covered in part I and II are well written for sharpening your knowledge in STL, inheritance, polymorphism and data structures which are useful for filling the gap between C++ language and application in computational finance. In part III, a core section of this book, it lists out the most popular techniques for pricing derivatives products such as tree method, Finite difference scheme and Monte Carlo method. This book is highly recommended for the first glance in computational finance. With the full source code in the attached CD, you can self-study easily. In addition, another Duffy's book - Financial Instrument Pricing Using C++ and Justin 's book - Modeling Derivatives in C++ are good references for intermediate level learning.
Showing reviews 1-5 of 10
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