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KennyMing
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 13th, 2007, 3:08 pm

I would like to know if your book could include some working examples of structured products ( FX, CDO, convertible bond, callable features....)I have bought your book of financial instrument pricing using C++ and introduction to C++ for financial engineers.I hope that this forthcoming book could be available for sale as soon as possible.
 
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quartz
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 15th, 2007, 5:42 pm

Sounds like a nice project!I'm only wondering wether the "robust" would fit in the title that way. Having the term a welldefined and relevant meaning in statistics and financial simulation - the first thing that came to my mind was a robust calibration+valuation framework, which is probably not the case if you're referring to code robustness instead. Is that a correct assumption? Or you even meant another different venue altogether?btw is the optimization part about numerical or code optimization?Hand up for C++, not that we like it much but atleast it tries to be a standard, even though C# might have some pluses.Actually ObjectiveC would be nice also, any other taker? okok...
 
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slacker
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 15th, 2007, 6:18 pm

QuoteOriginally posted by: CuchulainnAppendices1. An Introduction to the Finite Difference Method (FDM)2. Unified Modeling Language and Design Patterns3. Numerical Linear Algebra and Generic Data Structures4. Optimization Techniques5. An Introduction to Parallel ProcessingHow detailed is Appendix5? Any chance of including multithreading concepts for c++ and relations to Monte Carlo. This is probably a 'minimum requirement' for any simulator to be really useful on a quant desktop. Of course it throws up questions on RNG's and all that...
Last edited by slacker on March 14th, 2007, 11:00 pm, edited 1 time in total.
 
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 17th, 2007, 11:06 am

.
Last edited by Cuchulainn on March 16th, 2007, 11:00 pm, edited 1 time in total.
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 17th, 2007, 11:08 am

QuoteOriginally posted by: slackerQuoteOriginally posted by: CuchulainnAppendices1. An Introduction to the Finite Difference Method (FDM)2. Unified Modeling Language and Design Patterns3. Numerical Linear Algebra and Generic Data Structures4. Optimization Techniques5. An Introduction to Parallel ProcessingHow detailed is Appendix5? Any chance of including multithreading concepts for c++ and relations to Monte Carlo. This is probably a 'minimum requirement' for any simulator to be really useful on a quant desktop. Of course it throws up questions on RNG's and all that...Appendix 5 will now be a number of special chapters on the parallel version of the OO/Design Pattern framework. We use parallel DP and map them to fine-grained and coarse-grained solutions. We focus on OpenMP here in order to keep the scope of the book within reasonanle limits.Hope this helpsregardsDaniel
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KennyMing
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 17th, 2007, 3:28 pm

When will the book be published? I wanna buy it as soon as possible.
 
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 18th, 2007, 1:58 pm

QuoteOriginally posted by: quartzSounds like a nice project!btw is the optimization part about numerical or code optimization?Hand up for C++, not that we like it much but atleast it tries to be a standard, even though C# might have some pluses.Actually ObjectiveC would be nice also, any other taker? okok...'Robust' refers to the numerical methods used as well as code. So we can switch from one algorithm to another. We like C++ for MC because it is fast and flexible. Do not see major advantages in C# in this context...Objective-C is a non-starter, unfortunately
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 18th, 2007, 2:02 pm

QuoteOriginally posted by: KennyMingI would like to know if your book could include some working examples of structured products ( FX, CDO, convertible bond, callable features....)I have bought your book of financial instrument pricing using C++ and introduction to C++ for financial engineers.I hope that this forthcoming book could be available for sale as soon as possible.The framework can be customised to suit different products. So, we give 'hooks' for you to plug in your own stuff.The code and ideas in the MC book will be used from the other books. So, we can jump into MC stuff in Chapter 1 without telling again what a class is, inheritance, design patterns etc. etc. The (homogeneous + heterogereneous) Property Set pattern is very useful here as well.QuoteWhen will the book be published?target is Q3/4 2007 on the bookshelves.
Last edited by Cuchulainn on March 17th, 2007, 11:00 pm, edited 1 time in total.
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Lapsilago
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 18th, 2007, 6:11 pm

Just to add...... there will be a prototype payoff factory. Within this framework you can map one factor (1F), 1F path dependent, nF, nF pathdependent options.We will not take into account discounting using a "real-life" yield curve but use e^-rt but this could easily be customized one having understood the structure.Furthermore, we add examples for different methods to compute Greeks. Of course you can shift the initial parameters and run the whole simulation again. But often you can use pathwise differentiation which can be mapped to C++ using another payoff or the likelihood ration method. We will have also a factory which registers the score function at runtime for some models. Of course we give examples.But the key focus lies on the outline and efficient set up of a whole MC engine. We will describe all components and give hints how to extend those to fit your needs. But it is not a compendium, say if you need rng from some exotic distribution you will not find it here ;-) But the classes allow to be extended to handle that stuff! Hope the book will be fun and helps to implement MC methods...
 
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

March 19th, 2007, 1:22 pm

QuoteLapsilago:But the key focus lies on the outline and efficient set up of a whole MC engine. We will describe all components and give hints how to extend those to fit your needs. But it is not a compendium, say if you need rng from some exotic distribution you will not find it here ;-) But the classes allow to be extended to handle that stuff! I suppose we need to define the target group; knowledge of C++ is essential (it is NOT a C++ learning book (anymore)) and some design patterns.The 'user' is a developer who can plug in own code and extend the framework.
Last edited by Cuchulainn on March 18th, 2007, 11:00 pm, edited 1 time in total.
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KennyMing
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

May 3rd, 2007, 11:49 am

How is the progress of the C++ book?
 
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

February 19th, 2008, 4:16 pm

QuoteOriginally posted by: KennyMingHow is the progress of the C++ book?We have completed the chapters and code and we are now entering the manuscript/copy editing phase. I plan to post a new TOC on my site in the next few weeks.
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SixSigma
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Joined: September 19th, 2002, 8:56 pm

Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

February 20th, 2009, 6:05 pm

Hazzah!Looking forward to it.I am right 19 times out of 20
 
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

February 20th, 2009, 6:51 pm

A definitive TOC and blurb. edit: just for the record, we assume the reader has a _working knowledge_ of C++.
Last edited by Cuchulainn on February 19th, 2009, 11:00 pm, edited 1 time in total.
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Cuchulainn
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Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

May 31st, 2009, 7:12 pm

QuoteDo you have sample chapters? And maybe the preface/intro? Here are two sample chapters (0, 11) and preface( pre copy-edit examples). Of course, posting any more is not possible. HTHMC
Last edited by Cuchulainn on May 30th, 2009, 10:00 pm, edited 1 time in total.
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