SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
AnalyticalVega
Topic Author
Posts: 2260
Joined: January 16th, 2013, 5:03 am

Looking for the best book on Monte Carlo Development in C++

January 5th, 2014, 8:40 pm

So far I found this book: BookDoes anyone have a favorite Monte Carlo/C++ Book?
Last edited by AnalyticalVega on January 4th, 2014, 11:00 pm, edited 1 time in total.
 
User avatar
AnalyticalVega
Topic Author
Posts: 2260
Joined: January 16th, 2013, 5:03 am

Looking for the best book on Monte Carlo Development in C++

January 6th, 2014, 2:35 am

MONTE CARLO Books---------------------------------Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)Monte Carlo Methods in Financial Engineering, by Paul GlassermanMonte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg KienitzRisk Management and Simulation by Aparna Gupta
Last edited by AnalyticalVega on January 5th, 2014, 11:00 pm, edited 1 time in total.
 
User avatar
chocolatemoney
Posts: 322
Joined: October 8th, 2008, 6:50 am

Looking for the best book on Monte Carlo Development in C++

January 8th, 2014, 1:29 pm

(+1) Glasserman even if the quality of print is very modest: ink is somehow fading..
 
User avatar
Polter
Posts: 2526
Joined: April 29th, 2008, 4:55 pm

Looking for the best book on Monte Carlo Development in C++

January 8th, 2014, 6:32 pm

Although not C++, also a pretty decent book:Fusai & Roncoroni (2008) "Implementing Models in Quantitative Finance: Methods and Cases"http://semeq.unipmn.it/fusai/I've also found Joshi's "More Mathematical Finance" helpful for QMC and Brownian Bridge:http://www.markjoshi.com/more/That and Glasserman should cover most of your MC needs.Regarding C++ -- just go for the books mentioned here: http://isocpp.org/get-startedSee also (more details & further books): http://stackoverflow.com/questions/3882 ... and-listIn general, I would advise against any "C++ for X" book if you want to learn C++ (you won't) and X (you probably won't either).// A different category would be "C++ _AND_ X" books, like "C++ Design Patterns and Derivatives Pricing": http://www.markjoshi.com/design/// Note that these will have C++ as a prerequisite and will assume some knowledge of X (here: derivatives pricing).
Last edited by Polter on January 7th, 2014, 11:00 pm, edited 1 time in total.
 
User avatar
Alan
Posts: 10204
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Looking for the best book on Monte Carlo Development in C++

January 11th, 2014, 6:42 pm

QuoteOriginally posted by: PolterIn general, I would advise against any "C++ for X" book if you want to learn C++ (you won't) and X (you probably won't either).// A different category would be "C++ _AND_ X" books, like "C++ Design Patterns and Derivatives Pricing": http://www.markjoshi.com/design/// Note that these will have C++ as a prerequisite and will assume some knowledge of X (here: derivatives pricing).Seems like good advice. Maybe "X: with C++ code" might not be too bad, also.
Last edited by Alan on January 10th, 2014, 11:00 pm, edited 1 time in total.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On