digitalquant:I think Mark Joshi's book ``C++ Design Patterns and Derivatives Pricing'' is what you need. It pretty much starts out with what you are doing, discusses pros and cons, and goes from there./TGN

Out of curiosity - which textbook are you going to use?

We have [a,b] = [a,b) + [b,b]. Rearranging we get (assuming the Lebesgue measure): [a,b) = [a,b] - [b,b] = b-a - (b-b) = b-a.

QuoteOriginally posted by: mutleylike a fusion restaurant? they're one of my private hates. What's a fusion restautant? Is it something like sushi with ketchup?

QuoteOriginally posted by: wandererIs "Neftzi" spelled correctly? I can't find anything on amazon.Try "Neftci".

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: ntruwantI would like to boost my knowledge of Numerical procedures in quantitative finance. Which book do you recommend?To my knowledge there are none as such although there are a few (not many) specialised books for FDM, MC and so o...

Often weather derivatives are locked to some weather trait measured at a specific place or weather station. Maybe you can find historical data for a place or weather station relevant to your case and draw some conclusions about the distribution from that data./TGN

To me (as a legal alien in the Netherlands) this seems to be sort of typical Dutch bureaucracy. If there are some rules in place, one follows these rules no matter what. /TGN

A stock price is not the sum of previous logreturns. If you write the stockprice as S_t = Sum_0^t delta S_i you would have that the delta S_i's have different distributions (depending on what the shareprice is at the moment), i.e., the central limit theorem does not apply./TGN

For a first book to learn the basics I think Deitel's ``How to program'' is quite nice, however, as a reference book it is horrible. I find Stroustrup's ``The C++ programming language'' to be a really nice read. He has a unique view of the language./TGN

<t>QuoteOriginally posted by: MuisCan someone plz tell me why the stock closing prices are expected to distribute normal.I do not think that the closing prices are expected to be normally distributed, but rather the returns, i.e., the relative changes from day to day in the stock price. Also, maybe ...

<t>A measure and a distribution is not the same thing. Let's have a probability space (\omega, F, P) and a random variable X. A distribution mu_X for the random variable X assigns mu_X(B) = P{X \in B} for all Borel sets B (i.e. all useful sets of the real numbers). This means that the distribution d...

<t>Bill,W_t and W_t^star are indeed both Browninan motions, but not with respect to the same measure. The discounted stock price is in general not a martingale, but there exists a measure wrt which it is. Under this measure the SDE for the stock price is the second of your equations, and W_t^star is...

You can also get them "cheap" at amazon:"6 used & new available from $399.00"$399.00 New$399.00 New$700.00 Like New$775.00 Like New$1,010.00 Very Good$1,640.89 AcceptableThe price/condition relationship is not what one would imagine. /TGN

<t>I've been trying it at home the last few weeks and didn't encounter any problems so far. I haven't tried anything fancy, though. Tried some stuff from vc++ 7 (which we use at work) and it worked well so far.The express edition seems to be a "ligthweight" edition of visual studio though, so maybe ...