Monte Carlo and C++

It goes without saying that the Monte Carlo method is important in QF. Performance, accuracy and code extendibility are major requirements when developing C++ applications for MC.

Dr. Joerg Kienitz has kindly agreed to cooperate to help write a book on designing and implementing reusable(pluggable) frameworks using Domain Architectures and Design Patterns.

We examine a range of one-factor and N-factor plain and exotic derivatives problems.

CD with working code as well as code for parallel processing.

Publisher: Wiley, Chichester UK