Monte Carlo frameworks: building customisable high performance C++ applications
Title Statements
- Full title :Monte Carlo frameworks : building customisable high performance C++ applications / Daniel J. Duffy, Jörg Kienitz.
Edition Statements
- Publication Date:©2009.
Publication Statements
- Publisher(s):Wiley
- Place of Publication:Chichester, U.K
- Language:eng
- Publication Date:©2009.
The Physical Object
- Description:xxv, 750 pages : : illustrations ; : 26 cm +
Edition Identifiers
- ISBN:9780470060698, 0470060697
- oclc:ocn261176982
- LC Classification:HG106
- Dewey Decimal:518/.28202855133
Table of Contents
My First Monte Carlo Application One-Factor Problems -- Mathematical Preparations for the Monte Carlo Method -- Mathematics of Stochastic Differential Equations (SDE) -- Alternative SDEs and Toolkit Functionality -- Introduction to the Finite Difference Method for SDE -- Design and Implementation of Finite Difference Schemes in Computational Finance -- Advanced Finance Models and Numerical Methods -- Foundations or the Monte Carlo Method -- 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 -- Boost Library: An Introduction -- Instruments and Payoffs -- Path-Dependent Options -- Affine Stochastic Volatility Models -- Multi-Asset Options -- Advanced Monte Carlo I -- Computing Greeks -- Advanced Monte Carlo II : Early Exercise -- Beyond Brownian Motion --C++ Application Optimisation and Performance Improvement -- Random Number Generation and Distributions -- Some Mathematical Background -- Introduction to Multi-threaded and Parallel Programming -- Introduction t…
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