Monte Carlo Frameworks Building Customisable High Performance C++ Applications - Wiley Finance

Daniel J. Duffy, Joerg Kienitz

Paperback (25 Sep 2009)

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Publisher's Synopsis

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 ++.

Book information

ISBN:	9780470060698
Publisher:	Wiley
Imprint:	John Wiley & Sons, Inc.
Pub date:	25 Sep 2009
DEWEY:	518.28202855133
DEWEY edition:	22
Language:	English
Number of pages:	750
Weight:	1410g
Height:	253mm
Width:	178mm
Spine width:	48mm