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 ++.
General
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