Daniel Duffy, Joerg Kienitz – Monte Carlo Frameworks. Building Customisable High Performance C Applications

Description

Daniel Duffy, Joerg Kienitz – Monte Carlo Frameworks. Building Customisable High Performance C Applications

ISBN: 978-0-470-06069-8

775 pages

September 2009

Description

This is likely one of the first books that describe all of the steps which might be wanted as a way to analyze, design and implementMonte Carlo purposes. It discusses the monetary principle in addition to the mathematical and numerical background that’s wanted to put in writing versatile and environment friendly C++ code utilizing state-of-the artwork design and system patterns, object-oriented and generic programming fashions together with commonplace libraries and instruments.

 

Includes a CD containing the supply code for all examples. It is strongly suggested that you simply experiment with the code by compiling it and increasing it to fit your wants. Support is obtainable through a consumer discussion board on www.datasimfinancial.comthe place you may put up queries and talk with different purchasers of the guide.

 

This guide is for these professionals who design and develop fashions in computational finance. This guide assumes that you’ve got a working information of C ++.

 

Author Information

DANIEL J. DUFFY has been working with numerical strategies in finance, business and engineering since 1979. He has written 4 books on monetary fashions and numerical strategies and C++ for computational finance and he has additionally developed numerous new schemes for this subject. He is the founding father of Datasim Education and has a PhD in Numerical Analysis from Trinity College, Dublin.

JÖRG KIENITZ is the pinnacle of Quantitative Analysis at Deutsche Postbank AG. He is primarily concerned within the growing and implementation of fashions for pricing of advanced derivatives buildings and for asset allocation. He can also be lecturing at college stage on superior monetary modelling and provides programs on ‘Applications of Monte Carlo Methods in Finance’ and on different monetary matters together with Lévy processes and rate of interest fashions. Joerg holds a Ph.D. in stochastic evaluation and chance principle.