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Topic Title: Modelling derivatives in C++
Created On Fri Aug 13, 04 02:27 PM

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boncoup
Member

Posts: 78
Joined: May 2003

Fri Aug 13, 04 02:27 PM

Hi,
did anyone have the chance to read a prelease copy of this book? impressions?

Modeling Derivatives in C++
by Justin London
Our price: �39.67 + postage (Convert currency)
Normal price:�46.67
You save: �7.00
Due for publication on 10 Oct 2004 - can be pre-ordered

Our reference code: 17967
ISBN: 0471654647
688 pages, CD-Rom + hb
Published by John Wiley & Sons, 1st edition, 2004

Jacket text for Modeling Derivatives in C++
A comprehensive guide to derivatives pricing models and their code in C++

Providing readers with not only the theory and math behind the models, but actual C++ code used, this is a practical introduction to the most important derivative models used in practice today, including pricing derivatives, options (standard and exotics including barrier, lookback, and Asian options), futures, interest rate derivatives (caps, swaptions, and bonds), as well as other derivatives including swaps and credit derivatives. This book illustrates the practical implementations of these models in real-world situations. The authors discuss the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
About Justin London
Justin London (Chicago, IL) is the Senior Quantitative Analyst at Bank of Montreal. He has worked as a senior developer/consultant for technology companies in the Chicago area such as Iris Technologies and been an adjunct professor at Oakland Community College.

Edited: Fri Aug 13, 04 at 02:33 PM by boncoup

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Clopinette
Senior Member

Posts: 256
Joined: Feb 2002

Wed Aug 18, 04 01:59 PM

My expectations are not high that way I won't be disappointed.

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Keep your mind open, but not so open that your brain falls out

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Cuchulainn
Senior Member

Posts: 29414
Joined: Jul 2004

Sat Aug 21, 04 12:52 PM

where can one get a prerelease of manuscript?

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

Posts: 150
Joined: Jul 2002

Sat Aug 21, 04 02:00 PM

I will be interested in seeing a prerelease of the manuscript
as well.

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Cuchulainn
Senior Member

Posts: 29414
Joined: Jul 2004

Fri Aug 27, 04 01:15 PM

dbl

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

Edited: Thu Dec 27, 07 at 10:29 AM by Cuchulainn

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Cuchulainn
Senior Member

Posts: 29414
Joined: Jul 2004

Fri Aug 27, 04 01:16 PM

did anyone get any feddback?

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

Posts: 28
Joined: Nov 2004

Wed Dec 26, 07 10:30 PM

So is this book any good? reviewers in amazon rate it highly.

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arsenalboi
Member

Posts: 75
Joined: Jul 2007

Thu Dec 27, 07 03:08 PM

I've got the book.

Its quite good as before all the codes he explains the concepts quite well. I think its more of a reference to particular bits of code that you might need rather than being a book where you learn off.

Also its quite large

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TraderJoe
Senior Member

Posts: 11057
Joined: Feb 2005

Thu Dec 27, 07 03:50 PM

I observe Justin London has another book out which covers C++, Matlab and Excel. This looks even better in terms of coverage ?

Modeling Derivatives Applications in Matlab, C++, and Excel.

-------------------------
That the ultimate felicity of man consists in the contemplation of God � St. Thomas Aquinas.

Edited: Thu Dec 27, 07 at 04:03 PM by TraderJoe

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DominicConnor
Senior Member

Posts: 11300
Joined: Jul 2002

Thu Dec 27, 07 11:56 PM

I doubt it will get reviewed by anyone with any credibility.

After we passed comment upon his first "book", several of us got frankly insane emails from "friends" of Justin London.
The "friends" also posted puff pieces on Amazon as reviews.

The work has far more errors than it should, including the notorious C++ arrays with negative array indexes...

Under his own name, Mr. London has never responded, nor to my knowledge published an errata, although given that his new book is 600 pages long
perhaps it is the errata for his first "book".

I note on the link TJ cites, that Mr. London values his code so much that you only get one attempt to download it, based upon a sealed key in the book.
If that goes wrong (guess how likely that is ?)

You can try to ask for another go, but as you would expect from anything associated with Justin London, apparently the messaging system does not work

Even with Amazon discounts it is about �100/$200, so I would price it thus:

Go to your local bar, shout "who will tell me all about modeling derivatives for $200 ?"
Hire the prettiest person who says "I will".

I suspect you will gain more insight into the topic this way than reading anything by Mr. London.

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TraderJoe
Senior Member

Posts: 11057
Joined: Feb 2005

Sat Dec 29, 07 05:44 PM

Downloaded the code, no probs. Book is OK (4 out of 5 stars).

-------------------------
That the ultimate felicity of man consists in the contemplation of God � St. Thomas Aquinas.

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unkpath
Senior Member

Posts: 288
Joined: Jan 2004

Sat Dec 29, 07 06:48 PM

as often, I beg to differ and this is my own oppinion. I know that this book has been discussed on this forum
before and has been harshly criticized, but I don't think that this is entirely legitimate. what is entirely
illegitimate in any case is to take on that mocking attitude that people had in this thread.

I mean this guy is trying to cover some ground at least, in both of his books. this in itself is amazing. do you
even realize how much irrelevant textbook style crap is being published all over the place. I mean the stuff
that gets you through a course and maybe a first job interview, but who cares about this anyway? There is
enough of that around already.

I am really not seeking an apology for a guy who steals bits and pieces from quantlib or other open source
software, that isn't OK. but dismissing his work on the grounds that he is publishing arrays with literal
(negative) dimensions is not the problem. who cares? do you think any practitioner is going to use that code
as such anyway?

you should take a look at the table of contents of both of his books and will find that he actually bothers
discussing very hot topics. besides, I think that these books have sold very very well and I do understand
why.

Quote
Originally posted by: DCFC
I doubt it will get reviewed by anyone with any credibility.

Posts: 28
Joined: Nov 2004

Sat Jan 05, 08 08:37 PM

Thank you for your comments.

Athos

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DominicConnor
Senior Member

Posts: 11300
Joined: Jul 2002

Mon Jan 07, 08 11:50 AM

as often, I beg to differ and this is my own oppinion.
I have no problem with that.

this book has been discussed on this forum before and has been harshly criticized, but I don't think that this is entirely legitimate.
We part company here.
I am actually professionally trained in that sort of review, and have worked on this stuff for decades, so am (with all due modesty), the best person available to review it.
If you don't accept this, then read comments by people who can make a very good claim to being better equipped than me.

I have absolutely no axe to grind commercially about Justin London, indeed I am not sure I have ever even communicated with him, though I have suspicions about some of the quite amazing emails some of us have recieved, and the "comments" on Amazon.

I mean this guy is trying to cover some ground at least, in both of his books. this in itself is amazing.
Certainly ambitious, but the first book is a failure.
It does cover good topics, bought the book myself. If it were a "product" I would have taken it back and demanded a refund.

even realize how much irrelevant textbook style crap is being published all over the place.
Agreed.

but dismissing his work on the grounds that he is publishing arrays with literal (negative) dimensions is not the problem.
Actually on the CQF I teach people how to do negative indexes, a real programmer should be able to do this.
But on purpose, not through sloppiness.
I suspect that some of the code he "found" comes from Excel VBA, where negative array indexes are perfectly OK, which is why I show how to do them in C++

But it undermines confidence catastrophically when you see shit like that down through error, or even because you think it will work.

who cares?
I do.
Lots of others, but not apparently Justin London who has never bothered to publish an errata.

do you think any practitioner is going to use that code
Absoultely, yes, 100%.
Not you maybe, but if you had knocked around banks and other producer/consumers of had built software as a much as me, you'd see great piles of textbook code.

you should take a look at the table of contents of both of his books
If I don't trust the content, why do I need to know what it is ?

I think that these books have sold very very well
Yes, because they have been well marketed and have a good buzzword density.
Books on Creationism, and Homoeopathy sell well, do you recommend these ?

Posts: 88
Joined: Mar 2004

Tue Apr 08, 08 02:59 PM

1 error is p165
j varies from -i to +i, not to i+1
if i'm not mistaken

>Lots of others, but not apparently Justin London who has never bothered to publish an errata.
totally. every work should have an errata.

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Y0da
Senior Member

Posts: 384
Joined: Aug 2007

Tue Apr 08, 08 03:59 PM

This book is just full of errors and many codes just doesn't work
by default. It's as simple as that. It is however useful if one is
willing to find and eliminate the errors. If you want to copy-paste
code just to use it go some place else. This is my experience with
the book after heaving read the BDT tree/swaptions part.

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Cuchulainn
Senior Member

Posts: 29414
Joined: Jul 2004

Tue Apr 08, 08 05:03 PM

Quote
...his code so much that you only get one attempt to download it, based upon a sealed key in the book.

This sounds like an excelllent idea.
Mine and Thine.

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

Edited: Tue Apr 08, 08 at 05:03 PM by Cuchulainn

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Broardview
Member

Posts: 159
Joined: Apr 2006

Tue Apr 08, 08 05:08 PM

Quote
Originally posted by: Y0da
This book is just full of errors and many codes just doesn't work
by default. It's as simple as that. It is however useful if one is
willing to find and eliminate the errors. If you want to copy-paste
code just to use it go some place else. This is my experience with
the book after heaving read the BDT tree/swaptions part.

Tell me how you find the mistake in his implementation of his code. There are so many lines of his code.

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Y0da
Senior Member

Posts: 384
Joined: Aug 2007

Tue Apr 08, 08 06:17 PM

Quote
Originally posted by: Broardview
Quote
Originally posted by: Y0da
This book is just full of errors and many codes just doesn't work
by default. It's as simple as that. It is however useful if one is
willing to find and eliminate the errors. If you want to copy-paste
code just to use it go some place else. This is my experience with
the book after heaving read the BDT tree/swaptions part.

Tell me how you find the mistake in his implementation of his code. There are so many lines of his code.

I'm not sure I understand what you mean.

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DominicConnor
Senior Member

Posts: 11300
Joined: Jul 2002

Tue Apr 08, 08 10:08 PM

It is so bizarre the Justin London values his code so much that you have to pass masonic tests of secrecy, and like in Mission Impossible 4 you get only one chance to download the secrets of life enocided through his wisdom into C++

I wonder which one of the voices in his head came up with that idea ?

Does this voice talk to the one that thinks negative array indexes in C++ are cool ?

I have never heard of anyone selling you a book "with" code, than putting such offensive conditions, even when the author has a good reputation.

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