Customer Reviews

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

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3 star:		(1)
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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.

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...

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.