ENGLISH

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

By Daniel J. Duffy , Joerg Kienitz

Book information

Publisher
Wiley
Year
2009
ISBN
0470060697, 9780470060698
LCC
HG106 .D84 2009
Google Books ID
WPARl4PhHFAC
Open Library ID
OL23533759M
Language
english
Format
PDF
Filesize
4 MB (3680335 bytes)
Series
Wiley Finance 406
Edition
1
Pages
778\778
Orientation
yes
Scanned
no
Time added
2012-02-04 16:00:00

Description

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 ++.

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