Financial Instrument Pricing Using C++ (The Wiley Finance Series)

Rating:
Summary: The best book in c++ instrument pricing, period.
Review: Let me just say that I have a few financial modelling books, from Dr. Brooks to Mr. Joshi, and this is the best book by far. It clearly explain how to price a particular instruments using this poweful language. The book uses Standard Template Language (STL), by doing so your code are more readable and much faster. If I only had this book a few years back. Now I must say this book is for C++ programmers and Quants you really need to know C++ from beginning to end, templates, pointers, references, classes or that stuff you need it. This is the only book that comes with working code, it doesn't matter what type of compiler you have the code in the CD will work. Mr. Duffy explains how to model one factor and two factor Black-Scholes equations using finite differences, options(vanilla, exotic),interest rate and much more. The CD even comes with an Excel driver to transfer your data to Excel. Quant superstar Justin London is coming with his new book in a few months, and that book might over take this one, but as of right now this is the best C++ financial pricing book around. You can't go wrong with this one.