Studying C++ for quant finance.

[babinu]

Hi ,

I have working knowledge for C++ with good experience with java and perl . I am contemplating buying a book that will help me to learn the applications of c++ in quant finance and give a sound footing in the same. I have researched on this and have come up with 3 books

1. Modeling Derivatives in C++(by Justin London)
2. Financial Instrument Pricing in C++ ( by Daniel Duffy)
3. C++ Design Patterns and Derivative Pricing (by Mark Joshi)

Looking at their brief contents, I am leaning to the second one (though it is bit expensive) , but I would like to hear what others think as well , So please comment

Thanks
Babinu

 

[JLMARTIN]

I recommend you to do some research on this website, since this topic has been discussed a lot (for example https://www.quantnet.com/forum/thre...ent-pricing-using-c-problems.9060/#post-85350)

also, do some research on www.wilmott.com

It seems that Justin London's books are not very accurate...

My experience: Daniel Duffy's and Mark Joshi's books are the top

Regards

 

[zhanghongyu]

I prefer the third one，because i test some codes which show in those three books with visual C++ 2010 express, and the codes show in the third book compiled successfully only with a few modification.

 

[Daniel Duffy]

The template classes in my book were for VC++ 6.0. Updates on www.datasimfinancial.com
The 2nd editions of my C++ books will be at level C++ 11.

//
Template support changed appreciably from VC++ 6.0 to new releases.

 

[zhanghongyu]

The template classes in my book were for VC++ 6.0. Updates on www.datasimfinancial.com
The 2nd editions of my C++ books will be at level C++ 11.

//
Template support changed appreciably from VC++ 6.0 to new releases.

Thanks a lot, I'll test the codes as soon as possible.

 

[zhanghongyu]

The template classes in my book were for VC++ 6.0. Updates on www.datasimfinancial.com
The 2nd editions of my C++ books will be at level C++ 11.

//
Template support changed appreciably from VC++ 6.0 to new releases.

Sorry，I can't access the wed "http://www.datasimfinancial.com/forum/viewtopic.php?t=271" where would be the upgrade codes locate because of "Warning: mysql_connect()".

 

[Daniel Duffy]

Works fine.