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 FORUMS > Book And Research Paper Forum < refresh >
 Topic Title: New Book: Modeling Derivatives in C++ Created On Sat Feb 07, 04 01:10 AM Topic View: Branch View Threaded (All Messages) Threaded (Single Messages) Linear

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Stefanone
Senior Member

Posts: 332
Joined: Aug 2002

Tue Dec 07, 04 08:16 PM

I just want stress how amazing is London's book. Never seen anything like this before.

-------------------------
Life is complex, partially because it has a real part and an imaginary part.

yomi
Member

Posts: 150
Joined: Jul 2002

Tue Dec 07, 04 08:43 PM

If he had added a detailed chapter on credit derivatives modeling, it
would have been become the "bible" of FE. It is important that authors
present their work with code examples.

Fxislander
Senior Member

Posts: 265
Joined: Nov 2003

Wed Dec 08, 04 03:29 AM

It does have that feeling to it doesnt it. Seems like he was quite obsessive about it.

Quote

Originally posted by: Stefanone
I just want stress how amazing is London's book. Never seen anything like this before.

Money
Senior Member

Posts: 585
Joined: Sep 2002

Thu Dec 09, 04 05:56 AM

i am going to bankrupt after purchasing all these books ....

pcerutti
Senior Member

Posts: 275
Joined: Jul 2002

Mon Dec 20, 04 10:30 AM

Fxislander has already this book because he bought it in US.
Does anybody know when will it be available in Europe?
It was supposed to be out in December but on Amazon it seems to be in delay.
Merry Christmas to all.
Pierluigi

WilmottBookshop
Bookshop

Posts: 1083
Joined: Aug 2002

Mon Dec 20, 04 12:35 PM

Having just spoken to the publisher, this book is now not due out in the UK until the 14th January 2005. Orders can be placed in adavnce through the Wilmott Bookshop:

http://books.global-investor.com/books/17967.htm?ginPtrCode=10202

Claire

pcerutti
Senior Member

Posts: 275
Joined: Jul 2002

Mon Dec 20, 04 12:39 PM

Thank you very much Claire.
Have a nice day.
Pierluigi

giorgio
Member

Posts: 37
Joined: May 2004

Thu Dec 23, 04 06:12 PM

the book is a joke; nevertheless not one of the good ones
it's one thing the writer (some poor graduate student that got
hired for that??) has no clue on the math (Dirac delta funcs are
C++ are at best of failing grade at any community college in
the country...
i will defintely recommend waiting 1-2 weeks; the bool will be
further discounted ($96 to$60 in a month) to $15 or so... cheers, giorgio  Reply Quote Top Bottom gobbledygook Member Posts: 57 Joined: Oct 2004 Fri Dec 24, 04 01:28 PM Got the same feeling. As an old joke says"If you copy from one book that is plagiarism, but if you copy from ten books that is scholarship." IMHO, This book is somewhere between one to ten. I got my copy at$40. Should be a fair price, I would say. As this book got 800+pp and poor Brooks' C++ still outrageously priced at around $100. Quote Originally posted by: giorgio the book is a joke; nevertheless not one of the good ones it's one thing the writer (some poor graduate student that got hired for that??) has no clue on the math (Dirac delta funcs are carbon copy of Wilmott's "student intro" to start with) but his/her C++ are at best of failing grade at any community college in the country... i will defintely recommend waiting 1-2 weeks; the bool will be further discounted ($96 to $60 in a month) to$15 or so...

cheers,
giorgio

spursfan
Senior Member

Posts: 821
Joined: Oct 2001

Fri Dec 24, 04 03:07 PM

i'm glad it isn't only me that is disappointed (though i did pay $60) my guess is that the book is a combination of his old msc lecture notes (all the tedious derivations and borrowed material) plus hopefully his own poor quality c++ code also time (say 1998) seems to have stood still for nearly all the equity stuff whereas there is some more modern bond stuff (G2++, LMM) but even for the latter some of the implementations such as the HW or BK trees are pathetically inefficient - and the added software doesn't seem to cope with more than 100 steps in a binomial tree  Reply Quote Top Bottom yomi Member Posts: 150 Joined: Jul 2002 Fri Dec 24, 04 06:37 PM I haven't got my copy yet because it isn't out in the UK yet. However, I had a look at the sample first chapter and his coding style appeared to be based on that of the quantlib guys. What I am getting from the reviews is that the code is not very good. I know that Quantlib has a version of G2++, HW and BK. Did he write his own versions? Quote Originally posted by: spursfan i'm glad it isn't only me that is disappointed (though i did pay$60)

my guess is that the book is a combination of his old msc lecture notes (all the tedious derivations and borrowed material) plus hopefully his own poor quality c++ code

also time (say 1998) seems to have stood still for nearly all the equity stuff whereas there is some more modern bond stuff (G2++, LMM) but even for the latter some of the implementations such as the HW or BK trees are pathetically inefficient - and the added software doesn't seem to cope with more than 100 steps in a binomial tree

ametrano
Member

Posts: 151
Joined: Jul 2002

Sun Dec 26, 04 04:12 PM

> his coding style appeared to be based on that of the quantlib guys.
I would hope so. Unfortunately this is not the case.

> What I am getting from the reviews is that the code is not
> very good. I know that Quantlib has a version of G2++, HW and BK.
> Did he write his own versions?
This is the typical plot: the author sketches his own C++ functions, then for a "more robust implementation" he shows some QuantLib code and classes. He goes so far as to print more than a dozen consecutive pages of QuantLib codes with just few lines of comment. No introduction, no design, nothing to help the reader understand the rationale behind the coding.

Besides that I must add that the QuantLib version he uses is quite old, he manages to show code which was deprecated (then removed)., and even untested buggy code as the QuantLib G2 code which is labeled as untested and buggy, and I see no reason to publish it without a notice.

Last but not least the author try to cover too much material, and much of it is clearly out of his knowledge and comprehension. I haven't read the whole book, but its coverage of Brownian Bridge and Sobol low discrepancy sequences is a good example of what I mean. The author copies some code from Jäckel's book, completely misses Jäckel point about Sobol initialization numbers and his conclusions are a naif confirmation that he actually hasn't understood the peculiarities of low discrepancy sequences and how they have to be used.

The last semester has seen at least 4 books about C++ and quantitative finance (Joshi, Duffy, Levy, and London): London is the worst of the batch. QuantLib has its own limits and problems, but please do not associate it to London's book.

ciao -- Nando

Edited: Tue Dec 28, 04 at 03:55 PM by ametrano

mj
Senior Member

Posts: 3407
Joined: Dec 2001

Tue Dec 28, 04 01:52 PM

Everyone's criticizing the code in this book but no one's actually saying what's wrong with it. I haven't seen a copy yet so I am curious to know.

NB the reviews on amazon.com are telling a rather different story.

-------------------------
More mathematical finance is now available from amazon and Barnes and Noble.

www.markjoshi.com/more

The second edition of Quant Job Interview Questions and Answers is now out.

yomi
Member

Posts: 150
Joined: Jul 2002

Tue Dec 28, 04 04:25 PM

Yes, it does get good reviews on amazon.com but some people on this forum give it the thumbs down. I hope to get a
copy when it comes out in the new year in the uk and I will make my own judgement on it.

Quote

Originally posted by: mj
Everyone's criticizing the code in this book but no one's actually saying what's wrong with it. I haven't seen a copy yet so I am curious to know.

NB the reviews on amazon.com are telling a rather different story.

yomi
Member

Posts: 150
Joined: Jul 2002

Thu Jan 20, 05 08:39 AM

I agree with this review of the book. This book is definitely over-hyped and over-rated.

Quote

Originally posted by: ametrano
> his coding style appeared to be based on that of the quantlib guys.
I would hope so. Unfortunately this is not the case.

> What I am getting from the reviews is that the code is not
> very good. I know that Quantlib has a version of G2++, HW and BK.
> Did he write his own versions?
This is the typical plot: the author sketches his own C++ functions, then for a "more robust implementation" he shows some QuantLib code and classes. He goes so far as to print more than a dozen consecutive pages of QuantLib codes with just few lines of comment. No introduction, no design, nothing to help the reader understand the rationale behind the coding.

Besides that I must add that the QuantLib version he uses is quite old, he manages to show code which was deprecated (then removed)., and even untested buggy code as the QuantLib G2 code which is labeled as untested and buggy, and I see no reason to publish it without a notice.

Last but not least the author try to cover too much material, and much of it is clearly out of his knowledge and comprehension. I haven't read the whole book, but its coverage of Brownian Bridge and Sobol low discrepancy sequences is a good example of what I mean. The author copies some code from Jäckel's book, completely misses Jäckel point about Sobol initialization numbers and his conclusions are a naif confirmation that he actually hasn't understood the peculiarities of low discrepancy sequences and how they have to be used.

The last semester has seen at least 4 books about C++ and quantitative finance (Joshi, Duffy, Levy, and London): London is the worst of the batch. QuantLib has its own limits and problems, but please do not associate it to London's book.

ciao -- Nando

mama
Member

Posts: 94
Joined: Apr 2003

Sat Jan 22, 05 07:05 PM

> I agree with this review of the book. This book is definitely over-hyped and over-rated.

What you not like about his book?

yomi
Member

Posts: 150
Joined: Jul 2002

Mon Jan 24, 05 08:02 AM

The book is all about modelling derivatives in c++. If you look at
the code he has written it has not been properly designed
or implemented. From his style, he codes like a beginner
in C++. The way he converts the pseudo code in "Implementing Derivative Models" into C++ justifies
my criticism of his lack of C++ experience. In fact, I agree with somebody that said the book is based
on a combination of old msc lecture notes and borrowed material from other books on the market.

He uses several open source libraries and code from various places
but hasn't packaged them for use with his code in one single microsoft development workspace
or makefile. Finally, he could have used a more recent version of Quantlib
since he is basing most of his code in his book on this library.

Cuchulainn
Senior Member

Posts: 35258
Joined: Jul 2004

Tue Jan 25, 05 12:37 PM

Yomi,
I am a bit confused. Your review is somewhat different from an early post.

This is perhaps one of the best books written in the field of quantitative finance, especially for implementing models especially using C++. It is equivalent to Numerical Recipes in C but for derivative models. It is one of the most comprehensive and details books I've seen at roughly 900 pages. It shows not only the mathematical derivations for all the major fixed income and equity models, but provides all the actual code (there is enough code to run an entire quant engine especially on the CD) and implementations for many complex models like HJM and BGM. It is the most comprehensive and detailed book I've seen in prereleased versions and will be invaluable and a must reference for any quant.

-------------------------
www.datasimfinancial.com

yomi
Member

Posts: 150
Joined: Jul 2002

Tue Jan 25, 05 01:06 PM

I did'nt write the review below. "quantguy1" wrote it.

Quote

Originally posted by: Cuchulainn
Yomi,
I am a bit confused. Your review is somewhat different from an early post.

This is perhaps one of the best books written in the field of quantitative finance, especially for implementing models especially using C++. It is equivalent to Numerical Recipes in C but for derivative models. It is one of the most comprehensive and details books I've seen at roughly 900 pages. It shows not only the mathematical derivations for all the major fixed income and equity models, but provides all the actual code (there is enough code to run an entire quant engine especially on the CD) and implementations for many complex models like HJM and BGM. It is the most comprehensive and detailed book I've seen in prereleased versions and will be invaluable and a must reference for any quant.

Cuchulainn
Senior Member

Posts: 35258
Joined: Jul 2004

Tue Jan 25, 05 01:15 PM

Sorry, that's what I forgot to write. I should have given the full source.

I find it strange that there are many views on this.

-------------------------
www.datasimfinancial.com