Daniel Duffy's "Financial Instrument Pricing Using C++"

[bigbadwolf]

Is this based on the QN course DD offers? Is it a major improvement on the first edition (which I have)?

 

[Daniel Duffy]

Is this based on the QN course DD offers? Is it a major improvement on the first edition (which I have)?

Do you mean the second edition of my Financial Instrument Pricing in C++?

Here is a sample chapter and overview

https://www.datasim.nl/application/files/5615/3778/5054/Chapter1Watermark.pdf

QN course
Which course are you referring to?

 

[bigbadwolf]

Do you mean the second edition of my Financial Instrument Pricing in C++?

Yes, of course. My son, who works at Wells Fargo, was asking about it and I recommended he buy it. I may buy a copy myself but it would be nice to know something about it.

 

[Daniel Duffy]

The book is a major update to C++11 etc. and PDE/FDM/MC/lattice models. The code directories are in 1:1 correspondence and available by contacting me.

I think sample chapter 1 gives a good overview of what's on offer.

C++ background level is from let's say the QN C++ course. It is not a beginner's book.

We have a new web site which we are adding stuff to.

Blogs :: Datasim

www.datasim.nl

 

[Daniel Duffy]

Related to the book, here are some articles (one with Avi Palley) related to the work in progress leading to the book.

Blog: Articles on C++11 and Computational Finance (by Daniel J. Duffy)

On this blog I would like to share some of my work. Feedback relating to these topics very welcome.

quantnet.com

 

[bigbadwolf]

Okay, I'll order my copy.