C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk, Series Number 2)

This book tries to enforce good C++ programming practices, in particular design patterns, for options pricing, with a hands-on approach, concisely and clearly. The main drawback is the lack of diagrams: when designing object oriented programs, you draw a lot of doodles (learned people call them "UML diagrams", but they are just doodles), that are useful to clarify your ideas and to communicate them. Why is there none? I checked other C++ finance books, and they all had the same problem -- if you plan to write yet another C++ finance book, you know what not to forget... You are probably better off with a more general book about "good programming practices" (including, but not limited to, design patterns: Design Patterns, by E. Gamma et al., is the classical reference, but there might be newer books), a book about C++ programming quirks (such as S. Meyers's Effective C++), together with a more mathematically-oriented options book -- only come back to M. Joshi's book afterwards and consider it as an application of those practices.

This book stands out because it has clearly been written by a quant practitioner rather than a pure theorist. It regularly focuses on the real life challenge of producing a performant, maintainable system which can be enhanced over time with minimal impact. Though it does not claim to be an introduction to C++ or Mathematical Finance, its onion-skin approach is effective in guiding those with a very basic knowledge in these two areas into some reasonably advanced terrain.

This book is easy to read and hands on. Although there are a lot of excellent books which will give you an introduction to C++ for general purposes, I will still recommend this book to people who want to learn C++ for derivatives pricing.

A useful reference on C++ implementation of most common derivative models. Mostly good on details. Can be useful for an entry- to intermediate level quant. Generally recommended.

I like this book