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Summary: Learning derivatives by programming them
Review: There is no shortage of books on financial derivatives these days. By and large, there are few that can really be called unique. Bob Brooks has found a nice niche that distinguishes this book from most others, specifically the programming of financial derivatives code in C++. Based on his successful course at the University of Alabama, Brooks takes the reader through a variety of problems in financial derivatives and shows how to solve them using C++, specifically the Borland C++Builder package. The book does give a brief overview of C++, but it would be helpful to already be fairly familiar with it. Once the basics are mastered, however, Brooks takes the reader on a journey through the world of swaps, options and mortgage-backed securities with clear examples laid out in the text, followed by the C++ code.Can you think of any other book in financial derivatives with more practical use? If you are looking for a glorified and mathematically elegant treatment of financial derivatives, don't look here. But if you want to learn financial derivatives, there's no better way to do so than programming them. This book packs a lot of information in just 200 pages and, though based on a masters-level course, it works well as a textbook or not. So my advice is, before you spend another cent on one more book by a formula-loving mathematician who has never priced a real derivative, try this one.
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Summary: A must book for MBA's/MS in financial engineering
Review: 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.
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Summary: A Must Read for all Quants
Review: 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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Summary: Book to learn how to program derivatives's modeling
Review: This is very accessible book to learn from. If really want be a quanta this is the book to start with. All quantas entering the field of financial derivatives should start with this book, which includes all you will need to know to program and implement your first derivatives' modeling application.
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Summary: review of Robert Brooks' book by Daniel Duffy, Ph.D.
Review: When I first saw the title I thought that this book would giveme some insights into applying C++ to real financial applications. Thereality was different. The main shortcomings in this book are, in myopinion: 1. It is fairly unstructured as it does not deal withhigh-level issues such as mapping financial models to C++ in a cleanway. 2. Most of the programs are simnple implementations offinancial models (mostly stochastic ones at that). It would take a lotof work to make them more flexible and reusable (for example, byapplying the Gamma (GOF) design patterns techniques). 3. Very littleproper documentation (UML class diagrams would have done thejob). 4. The layout can be improved (the publisher should take note)to make it more inviting to read. Daniel Duffy Datasim Education BVAmsterdam, Netherlands ...
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