SciComp SLV Calibrator

Forum Navigation:

magazine

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:

Pages: [ << 1 2 3 4 >> Previous Next ]
View thread in raw text format


Stefanone
Senior Member

Posts: 332
Joined: Aug 2002

Tue Dec 07, 04 08:16 PM
User is offline View users profile

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.
 
Reply
   
Quote
   
Top
   
Bottom
     



yomi
Member

Posts: 150
Joined: Jul 2002

Tue Dec 07, 04 08:43 PM
User is offline

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.
 
Reply
   
Quote
   
Top
   
Bottom
     



Fxislander
Senior Member

Posts: 265
Joined: Nov 2003

Wed Dec 08, 04 03:29 AM
User is offline

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.


 
Reply
   
Quote
   
Top
   
Bottom
     



Money
Senior Member

Posts: 585
Joined: Sep 2002

Thu Dec 09, 04 05:56 AM
User is offline

i am going to bankrupt after purchasing all these books ....
 
Reply
   
Quote
   
Top
   
Bottom
     



pcerutti
Senior Member

Posts: 276
Joined: Jul 2002

Mon Dec 20, 04 10:30 AM
User is offline

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
 
Reply
   
Quote
   
Top
   
Bottom
     



WilmottBookshop
Bookshop

Posts: 1083
Joined: Aug 2002

Mon Dec 20, 04 12:35 PM
User is offline View users profile

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
 
Reply
   
Quote
   
Top
   
Bottom
     



pcerutti
Senior Member

Posts: 276
Joined: Jul 2002

Mon Dec 20, 04 12:39 PM
User is offline

Thank you very much Claire.
Have a nice day.
Pierluigi
 
Reply
   
Quote
   
Top
   
Bottom
     



giorgio
Member

Posts: 37
Joined: May 2004

Thu Dec 23, 04 06:12 PM
User is offline View users profile

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
 
Reply
   
Quote
   
Top
   
Bottom
     



gobbledygook
Member

Posts: 57
Joined: Oct 2004

Fri Dec 24, 04 01:28 PM
User is offline

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


 
Reply
   
Quote
   
Top
   
Bottom
     



spursfan
Senior Member

Posts: 832
Joined: Oct 2001

Fri Dec 24, 04 03:07 PM
User is offline View users profile

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
User is offline

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


 
Reply
   
Quote
   
Top
   
Bottom
     



ametrano
Member

Posts: 157
Joined: Jul 2002

Sun Dec 26, 04 04:12 PM
User is offline View users profile

> 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
 
Reply
   
Quote
   
Top
   
Bottom
     



mj
Senior Member

Posts: 3420
Joined: Dec 2001

Tue Dec 28, 04 01:52 PM
User is offline View users profile

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.


-------------------------
Course on Kooderive -- GPU programming with 100 times speed up in October 2014. www.markjoshi.com
 
Reply
   
Quote
   
Top
   
Bottom
     



yomi
Member

Posts: 150
Joined: Jul 2002

Tue Dec 28, 04 04:25 PM
User is offline

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.


 
Reply
   
Quote
   
Top
   
Bottom
     



yomi
Member

Posts: 150
Joined: Jul 2002

Thu Jan 20, 05 08:39 AM
User is offline

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


 
Reply
   
Quote
   
Top
   
Bottom
     



mama
Member

Posts: 94
Joined: Apr 2003

Sat Jan 22, 05 07:05 PM
User is offline

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

What you not like about his book?
 
Reply
   
Quote
   
Top
   
Bottom
     



yomi
Member

Posts: 150
Joined: Jul 2002

Mon Jan 24, 05 08:02 AM
User is offline

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.
 
Reply
   
Quote
   
Top
   
Bottom
     



Cuchulainn
Senior Member

Posts: 36933
Joined: Jul 2004

Tue Jan 25, 05 12:37 PM
User is offline View users profile

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
 
Reply
   
Quote
   
Top
   
Bottom
     



yomi
Member

Posts: 150
Joined: Jul 2002

Tue Jan 25, 05 01:06 PM
User is offline

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.


 
Reply
   
Quote
   
Top
   
Bottom
     



Cuchulainn
Senior Member

Posts: 36933
Joined: Jul 2004

Tue Jan 25, 05 01:15 PM
User is offline View users profile

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
 
Reply
   
Quote
   
Top
   
Bottom
     

Pages: [ << 1 2 3 4 >> Previous Next ]
View thread in raw text format
FORUMS > Book And Research Paper Forum < refresh >

Forum Navigation:

© All material, including contents and design, copyright Wilmott Electronic Media Limited - FuseTalk 4.01 © 1999-2014 FuseTalk Inc. Terms & Conditions