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Duffy, Daniel J.

Monte Carlo Frameworks: Building Customisable High-performance C++ Applications

Duffy, Daniel J. - Monte Carlo Frameworks: Building Customisable High-performance C++ Applications, ebook

104,20€

Ebook, PDF with Adobe DRM
ISBN: 9780470684061
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Printing233 pages with an additional page accrued every 4 hours, capped at 233 pages
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This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools.

 

Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book.

 

This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.

 

Keywords: Financial Engineering, software frameworks in C++, Monte Carlo simulation, Monte Carlo frameworks, quantitative finance, pricing of derivatives, customizable software frameworks, finance software, quantitative finance professional

Author(s)
 
Publisher
John Wiley and Sons, Inc.
Publication year
2009
Language
en
Edition
1
Series
The Wiley Finance Series
Page amount
775 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780470684061
Printed ISBN
9780470060698

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