I believe the author has a general reusability license--as long as the copyright headers remain in the code--it can be reused.

Actually I am a person who neither knows the author or am related to him. I happen to review new quantitative books coming out and I happen to think Mark Joshi's book on the Concepts of Mathematical Finance and Modeling Derivatives in C++ are two great books.

<t>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. ...

Try Modeling Derivatives in C++ which gives the entire formal proof of solving the Black-Scholes PDE using Green's Functions and also discusses finite different methods and other methods for solving PDES.

<t>If you want to learn C++ as applied to derivative models (interest rate, equity, and how to write robust classes), see Justin London's book Modeling Derivatives in C++, it is the most comprehensive and in detailed book written that has been written in the field. The reader learns not only the int...

<t>The best book written in the field is Justin London's book "Modelling Derivatives in C++". It is much better than Brooks book or for that matter any other book on numerical implementations--there is no comparison based on content, C++ code, and details--it covers everything. I have seen a prerele...