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

Posted: June 11th, 2009, 5:58 am
by Cuchulainn
QuoteOriginally posted by: danders3nothing to see hereWhat are you looking for in particular?

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

Posted: June 16th, 2009, 6:39 pm
by Lapsilago
If you are looking for theory and implementation (with working solutions and C++ source code) you will find it in the book.We cover the theory of Stochastic Differential equations and solving them numerically. This is applied to finance. Each topic introduced in the book is illustrated with C++ source code. Not only the simulation algorithms are described and implemented but a whole framework is given. You can extend and experiment with the delivered software to set up your own MC solver and extend the software to fit your own needs. Best,Lapsi

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

Posted: July 11th, 2009, 2:36 am
by Yossarian22
Daniel, I am just about to join a new firm. One of my first tasks is to build a factor model distributed over 312 machines. Is your book going to help in a project like this?RegardsY

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

Posted: July 11th, 2009, 9:37 am
by Cuchulainn
QuoteOriginally posted by: Yossarian22Daniel, I am just about to join a new firm. One of my first tasks is to build a factor model distributed over 312 machines. Is your book going to help in a project like this?RegardsYYoss,Our book is a 'mix' of math, finance and s/w design. We have 2 chapters on parallel design, mainly the 1) parallel architecture and 2) OpenMP shared memory models. Aspect 1) is an input to your problem but the next step would be decide which s/w technology to use. Do you intend using MPI and/or combination with shared memory?chapter 24 (my domain architectures) has a task decomposition for MC and asset allocation problems. This needs to be complemented by Mattson 2005 Parallel Design Patterns. The very first issue to do a data/task decomposition, it is an absolute MUST This maps very well to distributed computing models.So, our book is 'aware' of this area, but in the book it is mostly desktop and shared memory. HTHYou can PM me if you have any questions. regards

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

Posted: July 11th, 2009, 2:05 pm
by Yossarian22
thanks i will

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

Posted: July 12th, 2009, 8:28 am
by Cuchulainn
The final TOC is here, including the 2 bespoke chapters. edit: just been informed, pub date is 25 September 2009.

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

Posted: August 27th, 2009, 8:06 am
by Cuchulainn
Quote[..] build a factor model distributed over 312 machines [..]What are these machines doing?The next stage is to design bigger simulators (e.g. a batch), determine the dependencies and implement in shared/hybrid memory models.Here is a specification for grids. It would seem like coarse-grained paralellism. For fine-grained, my first stab would be to use parallel work share sections (6, 8) with a queue and caling individual solvers within each section. Incrementally.

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

Posted: September 25th, 2009, 6:25 am
by ACD
QuoteOriginally posted by: CuchulainnThe final TOC is here, including the 2 bespoke chapters. edit: just been informed, pub date is 25 September 2009.Daniel,Amazon just sent me a mail today saying the book is delayed. Is this a dispatch problem or has the publish date been pushed back?Thanks

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

Posted: September 25th, 2009, 7:08 am
by Cuchulainn
ACD,25 September was the official date. I have not heard anything to the contrary. I have contacted the publisher.BTW I have not received an author copy either update from publisherThe book is publishing today which means all stock is released from our warehouse to fulfil orders, including amazon’s. We will also be shipping stock which takes approximately 6 weeks hence the November pub dates on amazon.com and amazon.de.hth

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

Posted: September 25th, 2009, 5:15 pm
by quantmeh
i think that book publishing should move to some sort of subscription model. that way i'd have all the books in the world for monthly fee. log on to Inetrweb and read. all software should be like that too. i could use Matlab or Mathematics on pay-per-use basis.

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

Posted: September 28th, 2009, 6:21 am
by ACD
thanks

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

Posted: November 23rd, 2009, 12:03 pm
by Cuchulainn
We have a support site for the book here