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 stateofthe art design and system patterns, objectoriented 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 .
About Daniel J. Duffy
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 . JORG 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 Levy processes and interest rate models. Joerg holds a Ph.D. in stochastic analysis and probability theory.Details Book
Author  :  Daniel J. Duffy 
Publisher  :  John Wiley 
Data Published  :  25 September 2009 
ISBN  :  0470060697 
EAN  :  9780470060698 
Format Book  :  PDF, Epub, DOCx, TXT 
Number of Pages  :  775 pages 
Age +  :  15 years 
Language  :  English 
Rating  : 
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