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Monte Carlo Frameworks: Building Customisable High-performance C++ Applications
John Wiley and Sons Ltd, Sep 2009, Pages: 776
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 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 ++.
This books shows you how to construct, design and implement customizable software frameworks in C++. These frameworks realize functionality for the Monte Carlo method with a view to pricing, hedging (and calibrating) one-factor and n-factor option pricing problems. The authors apply a number of generic frameworks to allow is to create a framework that can be used as is but that also can be used by QF people to suit their own needs. The architecture consists of a number of building blocks or components that the authors assemble to produce a working system. This book is not an introduction to the theory of the Monte Carlo method. It is assumed that the reader has some knowledge of the C++ language.
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