Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series) [Hardcover]

Daniel J. Duffy (Author), Joerg Kienitz (Author)

Book Description

Publication Date: December 8, 2009 | ISBN-10: 0470060697 | ISBN-13: 978-0470060698 | Edition: 1

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 ++.

 

Editorial Reviews

From the Inside Flap

"With many books on C++ and Monte Carlo methods at hand, Daniel and Jörg have taken a serious approach to combine these topics in one volume. It is this combination that makes the book worth reading for a junior quant as an introduction and for a senior quant as a reference guide of some of the recent developments in financial engineering. The authors cover the basic models used mainly in equity derivatives up to stochastic volatility, jump diffusions and Lévy processes. The Monte Carlo method contains computation of Greeks, many variance reduction methods and handling early exercise features. This way the reader can learn the theory and the implementation in C++ (the industry standard in financial engineering) including using the boost library, standard template library (STL) up to building own libraries (DLLs and XLLs). Many case studies with lists of results and numerous exercises make it easy to learn and verify the valuation of financial instruments. You can start your career to become a good quant by reading this book."
—Uwe Wystup, Managing Director of MathFinance AG

"The reader is presented with a clear and readable self-contained guide for the Monte Carlo framework in C++. It discusses the complete software lifecycle of the Monte Carlo simulation process for computational finance and will therefore be directly useful for the quant and academic community. For sure a hands-on standard reference."
—Wim Schoutens, Research Professor Financial Engineering, Catholic University of Leuven

From the Back Cover

The Monte Carlo method is now acknowledged as being one of the most robust tools for a range of applications in finance, from option pricing to risk management and optimization. One of the best languages for the development of Monte Carlo applications and frameworks is C++, an object-oriented and generic programming language which is also an industry standard.

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.

The book is divided into four parts, each one dealing with one major aspect of the current problem domain. The features and topics are:

• Option pricing for a range of one-factor and n-factor models;
• European, Asian, baskets, Heston, jump models;
• Early exercises, calculating option sensitivities;
• The mathematical theory of n-factor Stochastic Differential Equations (SDE);
• An introduction to the numerical analysis of SDE;
• Modelling SDE and the Finite Difference Method (FDM) in C++;
• Applying design and system patterns (GOF, POSA) for improved design;
• Extensive use of the STL and boost libraries;
• Multi-threading and parallel programming (OpenMP) techniques for Monte Carlo;
• Creating Excel-based applications using xlw, Automation and COM;
• Extra discussion of mathematical foundations for Monte Carlo;
• Working source code is provided along with numerous examples, exercises and projects related to the extension of the C++ framework.

The book is accompanied by a CD which contains the source code for all the 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.

See all Editorial Reviews

Product Details

• Hardcover: 775 pages
• Publisher: Wiley; 1 edition (December 8, 2009)
• Language: English
• ISBN-10: 0470060697
• ISBN-13: 978-0470060698
• Product Dimensions: 9.8 x 6.9 x 1.9 inches
• Shipping Weight: 3.2 pounds (View shipping rates and policies)
• Average Customer Review: 2.0 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #1,144,299 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

12 of 13 people found the following review helpful:

2.0 out of 5 stars A disappointing book, January 31, 2010

By 

A Reader (UK) - See all my reviews

This review is from: Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series) (Hardcover)

I looked forward to reading this book with anticipation. Unfortunately when it arrived I was more than a little disappointed. Monte Carlo in the title is a misnomer to say the least as it isn't really evoked in more than 10% of the rather lengthy 700 pages in this supposed "tomb" of option pricing. Attempts to describe stochastic calculus and option pricing in general come across as a mish-mash of copy and paste snippets and I have real doubts whether either author fully understands the subject matter they are attempting to describe in this book. There are MUCH better books available on the market which describe MC methods, C++, option pricing and/or SDE's. Save your hard earned money and shop around a little. Even reading journal articles is more rewarding than wading through this hodge podge of poorly thought out ideas and at times barely legible sentences. I could and probably should really deduct another star for the poor and lazy grammar alone.

8 of 8 people found the following review helpful:

3.0 out of 5 stars Chapters of random values, March 5, 2010

By 

Gourion "B Small Lion" (France) - See all my reviews
(REAL NAME)   

This review is from: Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series) (Hardcover)

I am rather a little bit disappointed by "Monte Carlo Frameworks: Building Customisable High-Performance C++ Applications" because :

1/ the organisation of the book is not nice as the reader is constantly compelled to move forward and backward in the book to understand : often concepts, definition are used whereas their definitions are several chapters ahead (and some definitions are not always provided )

2/ the parallel reading of the book and the CD are advised as the book makes often reference to the cd. I don't know you but i don't like that a lot.

3/ Some subjects, essential as variance reduction methods, have too few pages dedicated to whereas it's clearly an important topic.

4/ Innovating topics such as mollifiers functions are presented but should deserve a more detailed exposee.

5/ A lot of interested questions are studied in ... the exercises ! (The solutions may be in the CD but i haven't spend time on it)

For its defense, the book provides :

1/ A good presentation of what the object architecture of a pricing application must be.

2/ An extended presentation of most finite difference schemes.

3/ A detailed presentation of the Heston in a mono and multi assets universe and how to simulate and code its specific simulations schemes.

4/ A well done presentation of mathematic basis of the subject (but it's the minimum, isn't it ?)

5/ a sort of gold mine and unfortunately because of its weird organization, you have to extract and refine the ore before to get the gold bars !

At the end, depending on the chapters, you will appreciate it and hate it : chapters of random values for a book dedicated to Monte Carlo...

8 of 11 people found the following review helpful:

1.0 out of 5 stars Pot-pourri and rehash of existing mediocre material, March 13, 2010

By 

unknowncoward "UC" (Rio, Brazil) - See all my reviews

Amazon Verified Purchase

This review is from: Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series) (Hardcover)

Daniel Duffy is in the business of writing and publishing books, period. Not so much in the business of disseminating expertise and advice. For those who haven't realized that yet, this is his fourth of fifth serving of this kind. I have been again and again disappointed by his books. Extremely shallow writing, inflationary page filling. Extremely mediocre. I was very annoyed by his books on finite differences (albeit one of the areas where Daniel Duffy can claim some expertise) and also about his book on C++ (the other area in which Daniel can claim a lot of expertise), because there you have 400 to 500 page treatises which contain essentially nothing. Now this book here just is not serious. Daniel Duffy has essentially no expertise at all in Monte Carlo methods and I can guarantee you that he has not actually seen a production Monte Carlo system that actually makes money in any big wall street shop. (In fact I doubt that Daniel Duffy has ever seen any actual pde based system that makes money either, since he never worked in any financial institution.) Anyway, the content of the book reflects the author's lack of expertise in the field, since as another reviewer has pointed out, the book doesn't actually spend much dealing with Monte Carlo frameworks at all. It is a pot-pourri of various loosely related and ill-understood topics in quantitative finance geared towards making an even bigger book. Extremely disappointing. Please stop writing books Daniel or stick to IT topics, but do some serious work before calling it a manuscript.