Mark Joshi’s C++ Design Patterns and Derivatives Pricing Is the book critical to your potential Quant interviews

Mark Joshi’s C++ Design Patterns and Derivatives Pricing Is the book critical to your potential Quant interviews

This book was the one that gelled everything for me. I must I was mightily impressed how simplistic the writing was in terms of merging the complex math algorithms needed to merged with knowledge of C++.
I have read some criticism of author Mark Joshi’s way of writing. This was mentioned in the Wilmott forum which kind of surprised me. I was astonished on some saying it was written in an old school way. I kind of disagree as Joshi present complex topics in a fairly easy to consume way. The style of type of the book alone is important as it is double spaced so you are not sleeping away while reading.
As for the content, it well developed as it starts each chapter with a basic lesson in each mathematical presentation of the C++ equivalent. Don’t worry, the book does not go in to detail like John Hull, but it is important to know that the brief introduction gives a deeper understanding as you tackle the C++ code.
Joshi starts with a very simple Monte Carlo simulator and starts to build on each section. He does not believe duplicating code (unless for optimization reasons), as code reuse is important. This includes using the standard object orientation and encapsulation, inheritance, and virtual functions.
As I started researching what kind of interview questions you will be expected to know, the chapters explaining virtual destructors is critical to understand the core of a potential interview questions. Joshi explains this flawlessly.
As for further progress of chapters, Joshi adds to the Monte Carlo simulator to use any kind of pricing engine for exotic options like Asian or the like.
The one that is so critical to understanding how Quant systems are developed are the solid understanding you will need for current enterprise level system design. These topics include which design patterns you need, decorating, random number generators, templates, using factories with wrappers, easy exception handling, and interfacing with Excel. These topics are very critical if you want to fly through your initial interviews. Remember many companies will put you from anywhere from two to eight rounds of interviews before you get a job offer.
I do believe Joshi’s book is a compulsory reading if you really want to get through a tough interview process at an investment bank or bulge bracket.