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...

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Bibliographic Details

Main Author:	Duffy, Daniel J.
Other Authors:	Kienitz, Joerg
Format:	eBook
Language:	English
Language Notes:	English.
Published:	Chichester, U.K. : Wiley, ©2009.
Series:	Wiley finance series.
Subjects:	Finance > Mathematical models. Monte Carlo method. C++ (Computer program language) Monte Carlo Method
Online Access:	Connect to the full text of this electronic book