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

by Duffy , Kienitz , Daniel J. Duffy and Joerg Kienitz

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

Synopsis

This handy guide shows analysts how to construct, design, and implement customizable software frameworks in C++. The authors apply a number of generic frameworks that suit the needs of quantitative finance professionals. As the Monte Carlo simulation has become an essential tool in the pricing of derivatives, this book is timely and practical.