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

Note moyenne 3
( 5 avis fournis par GoodReads )
 
9780470060698: Monte Carlo Frameworks: Building Customisable High-performance C++ Applications

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 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 ++.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Quatrième de couverture :

The Monte Carlo method is now acknowledged as being one of the most robust tools for a range of applications in finance, from option pricing to risk management and optimization. One of the best languages for the development of Monte Carlo applications and frameworks is C++, an object–oriented and generic programming language which is also an industry standard.

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.

The book is divided into four parts, each one dealing with one major aspect of the current problem domain. The features and topics are:

  • Option pricing for a range of one–factor and n–factor models;
  • European, Asian, baskets, Heston, jump models;
  • Early exercises, calculating option sensitivities;
  • The mathematical theory of n–factor Stochastic Differential Equations (SDE);
  • An introduction to the numerical analysis of SDE;
  • Modelling SDE and the Finite Difference Method (FDM) in C++;
  • Applying design and system patterns (GOF, POSA) for improved design;
  • Extensive use of the STL and boost libraries;
  • Multi–threading and parallel programming (OpenMP) techniques for Monte Carlo;
  • Creating Excel–based applications using xlw, Automation and COM;
  • Extra discussion of mathematical foundations for Monte Carlo;
  • Working source code is provided along with numerous examples, exercises and projects related to the extension of the C++ framework.

The book is accompanied by a CD which contains the source code for all the 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.

Biographie de l'auteur :

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Meilleurs résultats de recherche sur AbeBooks

1.

Duffy, Daniel J.; Kienitz, Joerg
Edité par Wiley (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Couverture rigide Quantité : 1
Vendeur
Irish Booksellers
(Rumford, ME, Etats-Unis)
Evaluation vendeur
[?]

Description du livre Wiley, 2009. Hardcover. État : New. book. N° de réf. du libraire 0470060697

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 60,91
Autre devise

Ajouter au panier

Frais de port : EUR 11,13
De Etats-Unis vers France
Destinations, frais et délais

2.

Daniel J. Duffy, Joerg Kienitz
Edité par John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Edition originale Quantité : 1
Vendeur
The Book Depository US
(London, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons Ltd, United Kingdom, 2009. Mixed media product. État : New. 1. Auflage. 252 x 176 mm. Language: English . Brand New Book. 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 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 ++. N° de réf. du libraire AAH9780470060698

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 79,24
Autre devise

Ajouter au panier

Frais de port : EUR 1,39
De Royaume-Uni vers France
Destinations, frais et délais

3.

Daniel J. Duffy, Joerg Kienitz
Edité par John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Edition originale Quantité : 1
Vendeur
The Book Depository
(London, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons Ltd, United Kingdom, 2009. Mixed media product. État : New. 1. Auflage. 252 x 176 mm. Language: English . Brand New Book. 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 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 ++. N° de réf. du libraire AAH9780470060698

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 81,28
Autre devise

Ajouter au panier

Frais de port : EUR 1,39
De Royaume-Uni vers France
Destinations, frais et délais

4.

Daniel J. Duffy
Edité par John Wiley and#38; Sons (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Quantité : 8
Vendeur
Books2Anywhere
(Fairford, GLOS, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley and#38; Sons, 2009. HRD. État : New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. N° de réf. du libraire FW-9780470060698

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 77,93
Autre devise

Ajouter au panier

Frais de port : EUR 11,61
De Royaume-Uni vers France
Destinations, frais et délais

5.

Daniel J. Duffy (Datasim Education BV); Joerg Kienitz
Edité par John Wiley and Sons
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Quantité : > 20
Vendeur
INDOO
(Avenel, NJ, Etats-Unis)
Evaluation vendeur
[?]

Description du livre John Wiley and Sons. État : New. Brand New. N° de réf. du libraire 0470060697

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 81,64
Autre devise

Ajouter au panier

Frais de port : EUR 16,69
De Etats-Unis vers France
Destinations, frais et délais

6.

Daniel J. Duffy, Joerg Kienitz
Edité par Wiley (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Couverture rigide Quantité : 1
Vendeur
Ergodebooks
(RICHMOND, TX, Etats-Unis)
Evaluation vendeur
[?]

Description du livre Wiley, 2009. Hardcover. État : New. 1. N° de réf. du libraire DADAX0470060697

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 90,42
Autre devise

Ajouter au panier

Frais de port : EUR 12,98
De Etats-Unis vers France
Destinations, frais et délais

7.

Duffy, Daniel J., Kienitz, Joerg
Edité par Wiley (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Couverture rigide Quantité : 3
Vendeur
Murray Media
(North Miami Beach, FL, Etats-Unis)
Evaluation vendeur
[?]

Description du livre Wiley, 2009. Hardcover. État : New. N° de réf. du libraire P110470060697

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 85,35
Autre devise

Ajouter au panier

Frais de port : EUR 18,54
De Etats-Unis vers France
Destinations, frais et délais

8.

DANIEL J. DUFFY
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Couverture rigide Quantité : 1
Vendeur
Herb Tandree Philosophy Books
(Stroud, GLOS, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre 2009. Hardback. État : NEW. 9780470060698 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. N° de réf. du libraire HTANDREE0773220

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 95,34
Autre devise

Ajouter au panier

Frais de port : EUR 9,29
De Royaume-Uni vers France
Destinations, frais et délais

9.

Duffy, Daniel J./ Kienitz, Joerg
Edité par John Wiley & Sons Inc (2009)
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Couverture rigide Quantité : 2
Vendeur
Revaluation Books
(Exeter, Royaume-Uni)
Evaluation vendeur
[?]

Description du livre John Wiley & Sons Inc, 2009. Hardcover. État : Brand New. hardback/cd-rom edition. 352 pages. 10.00x7.00x2.00 inches. In Stock. N° de réf. du libraire __0470060697

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 111,50
Autre devise

Ajouter au panier

Frais de port : EUR 6,96
De Royaume-Uni vers France
Destinations, frais et délais

10.

Daniel J. Duffy
ISBN 10 : 0470060697 ISBN 13 : 9780470060698
Neuf(s) Couverture rigide Edition originale Quantité : 1
Vendeur
Grand Eagle Retail
(Wilmington, DE, Etats-Unis)
Evaluation vendeur
[?]

Description du livre 2009. Hardcover. État : New. 1st. 174mm x 47mm x 250mm. Hardcover. 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 .Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 750 pages. 1.438. N° de réf. du libraire 9780470060698

Plus d'informations sur ce vendeur | Poser une question au libraire

Acheter neuf
EUR 98,59
Autre devise

Ajouter au panier

Frais de port : EUR 25,97
De Etats-Unis vers France
Destinations, frais et délais

autres exemplaires de ce livre sont disponibles

Afficher tous les résultats pour ce livre