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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...

An integrated guide to C++ and computational finance

This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:

• Delving into a detailed account of the new C++11 standard and its applicability to computational finance.
• Using...

Today's most complete and practical guide to finite difference methods and its applications to derivatives The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products in today's global markets. Finite Difference Methods in Financial Engineering provides a step-by-step description of how robust and accurate numerical methods are motivated and applied to pricing financial derivative products. Focusing on real-world derivative products such as vanilla and exotic options and...

A practice-oriented guide to using C# to design and program pricing and trading models

In this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products,...

One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications.

In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of...

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:

• C++ fundamentals and object-oriented thinking in QF
• Advanced object-oriented features...

Through a series of case studies from around the world, Capitalism and Conservation presents a critique of conservation's role as a central driver of global capitalism.

• Features innovative new research on case studies on the connections between capitalism and conservation drawn from all over the world
• Examines some of our most popular leisure pursuits and consumption habits to uncover the ways they drive and deepen global capitalism
• Reveals the increase in intensity and variety of forms of capitalist conservation throughout the world

This book is the follow-up of the Boost Volume I book and it has been written for software developers who use Boost C++ libraries to create flexible applications. We discuss approximately 20 advanced libraries that can be classified into the following major categories: Mathematics: special functions, statistical distributions, interval arithmetic and matrix algebra. Special data structures: date and time, circular buffer, UUID, dynamic bitsets, pool memory. TCP and UDP portable network programming using the software interface. Interprocess communication and shared memory programming models....

C++ is one of the most important and influential programming languages for application development. It supports the modular, object- oriented and generic programming models and its flexibility has been one of the main reasons why it has been so successful. With the emergence of the Boost Libraries (www.boost.org) we see that C++ is brought to a new level, namely a set of reusable and modular template libraries that C++ developers can use in their applications. This book is dedicated to a number of Boost libraries for higher-order functions, data types and data structures, libraries for text...