What is included with this book?
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.
Preface | |
My First Monte Carlo Application One-Factor Problems | |
Mathematical Preparations for the Monte Carlo Method | |
The Mathematics of Stochastic Differential Equations (SDE) | |
Alternative SDEs and Toolkit Functionality | |
An Introduction to the Finite Difference Method for SDE | |
Design and Implementation of Finite Difference Schemes in Computational Finance | |
Advanced Finance Models and Numerical Methods | |
Architectures and Frameworks for Monte Carlo Methods: Overview | |
System Decomposition and System Patterns | |
Detailed Design using the GOF Patterns | |
Combining Object-Oriented and Generic Programming Models | |
Data Structures and their Application to the Monte Carlo Method | |
The Boost Library: An Introduction | |
C++ Application Optimisation and Performance Improvement | |
An Introduction to Multi-threaded and Parallel Programming | |
An Introduction to OpenMP and its Applications to the Monte Carlo Method | |
Excel, C++ and Monte Carlo Integration | |
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