Monte Carlo Frameworks - Daniel J. Duffy, Joerg Kienitz

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Monte Carlo Frameworks (eBook)

Building Customisable High-performance C++ Applications

Daniel J. Duffy, Joerg Kienitz (Autoren)

eBook Download: PDF

2011
John Wiley & Sons (Verlag)
978-0-470-68406-1 (ISBN)

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Ebook-Leseprobe (PDF)

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 ++.

DANIEL J. DUFFY has been working with numerical methods in finance, industry and engineering since 1979. He has written four books on financial models and numerical methods and C++ for computational finance and he has also developed a number of new schemes for this field. He is the founder of Datasim Education and has a PhD in Numerical Analysis from Trinity College, Dublin.

JÖRG KIENITZ is the head of Quantitative Analysis at Deutsche Postbank AG. He is primarily involved in the developing and implementation of models for pricing of complex derivatives structures and for asset allocation. He is also lecturing at university level on advanced financial modelling and gives courses on 'Applications of Monte Carlo Methods in Finance' and on other financial topics including Lévy processes and interest rate models. Joerg holds a Ph.D. in stochastic analysis and probability theory.

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 ++.

DANIEL J. DUFFY has been working with numerical methods in finance, industry and engineering since 1979. He has written four books on financial models and numerical methods and C++ for computational finance and he has also developed a number of new schemes for this field. He is the founder of Datasim Education and has a PhD in Numerical Analysis from Trinity College, Dublin. JÖRG KIENITZ is the head of Quantitative Analysis at Deutsche Postbank AG. He is primarily involved in the developing and implementation of models for pricing of complex derivatives structures and for asset allocation. He is also lecturing at university level on advanced financial modelling and gives courses on 'Applications of Monte Carlo Methods in Finance' and on other financial topics including Lévy processes and interest rate models. Joerg holds a Ph.D. in stochastic analysis and probability theory.

Erscheint lt. Verlag	2.8.2011
Reihe/Serie	The Wiley Finance Series
	Wiley Finance Series
	Wiley Finance Series
Sprache	englisch
Themenwelt	Mathematik / Informatik ► Informatik ► Programmiersprachen / -werkzeuge
	Informatik ► Software Entwicklung ► Objektorientierung
	Recht / Steuern ► Wirtschaftsrecht
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Schlagworte	Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen • software frameworks in C++, Monte Carlo simulation, Monte Carlo frameworks, quantitative finance, pricing of derivatives, customizable software frameworks, finance software, quantitative finance professional
ISBN-10	0-470-68406-2 / 0470684062
ISBN-13	978-0-470-68406-1 / 9780470684061

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