Daniel J. Duffy, Joerg Kienitz, "Monte Carlo Frameworks: Building Customisable High-performance C++ Applications"
2009 | ISBN: 0470060697 | 775 pages | PDF | 3,5 MB
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.