Monte Carlo Frameworks Building Customisable High-performance C++ Applications

by Duffy, Daniel J.; Kienitz, Joerg

• ISBN13: 9780470060698
• ISBN10: 0470060697
• eBook ISBN(s): 9780470684061
• Edition: 1st
• Format: Hardcover
• Copyright: 2009-11-02
• Publisher: Wiley
• More Book Details
• Purchase Benefits

Summary

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 ++.

Author Biography

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.

Table of Contents

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

Table of Contents provided by Publisher. All Rights Reserved.