What's in the new Book, regular updates

Building Customisable High Performance C++ Applications

What's in the new Book, regular updates

Postby Cuchulainn » Wed Aug 22, 2007 3:35 pm

UPDATE I, comments welcome


C++ Monte Carlo Frameworks in Finance

From Models to Running Code

Daniel J. Duffy

J?rg Kienitz


This blog discusses the work of the authors, in particular our forthcoming book.

Executive Overview of Book

The main goal of this book is to apply the Monte Carlo method to the pricing and hedging of financial derivative products. In particular, we model a range of one-factor and multi-factor problems such a plain options, Asians, barriers, multi-asset problems, interest rate problems and problems having stochastic volatility. The contents of the book are based on proven and well-documented methods and techniques from quantitative finance, numerical methods, software design and the C++ language. We integrate these strands to produce a work that can be used in many kinds of applications.

This book is one of the first to integrate the attention points that arise when modeling derivatives using Monte Carlo methods. We have written it for quantitative developers, analysts and other finance professionals who develop pricing and hedging models. It is assumed that you have a working knowledge of C++, for example to the level of Daniel J. Duffy?s Introduction to C++ for financial engineers, John Wiley & Sons 2006.

In this book we use a number of modern financial, numerical and software design techniques to help you produce robust and flexible software systems in finance. Some of these are:

. Real-world derivatives modeling, including stochastic volatility, early exercise and path-dependence

. Rigorous and understandable mathematics for stochastic differential equations and the numerical schemes to approximate them

. Random numbers, quasi random number, antithetic and control variates

. Comparing Monte Carlo method with PDE/FDM and lattice methods

. Pluggable frameworks: write your own classes and integrate them in applications

. GOF and POSA patterns integration

. Advanced C++ syntax, including OO, templates, STL, Boost and more

. Useful classes for C++ data structures

. Reusable C++ numerical libraries and modules

. Support for parallel programming, including OpenMP and PMI

. Integration with Excel using xll, Automation and COM AddIn interfaces

Included with the book is a CD with working code, online documentation and other relevant information. The best way to learn the material is by actually running the applications, writing code and extending the framework. Finally, we provide an online forum at www.datasimfinancial.com where we support readers of the book.
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