Paul Willmot on quantitative finance

[Tsotne]

I'm about to go through these 3 books:

Amazon.com: Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) (9780470018705): Paul Wilmott: Books

Anyone tried already? Any opinions? Seems the great collection of books covering many aspects of quantitative finance. The only thing is that in the 3rd part, where the numerical methods are discussed he uses VBA codes. I'd actually prefer it to be in C++ or C# or java (any C-based language) and almost everyone who I talk with says the same. VBA is kind of ineffective in mathematical simulations problems.

 

[mkheidzedavid]

I'd actually prefer it to be in C++ or C# or java (any C-based language) and almost everyone who I talk with says the same. VBA is kind of ineffective in mathematical simulations problems.

Completely agree. I have defined some simulations algorithms in C++ and its much more effective in the same manner as Willmot uses and much faster in the same method construction. But you can easily translate the VBA code into the C++ code. The methodology is the same, just the syntax is different.

 

[Andy Nguyen]

Paul Wilmott can hire Dominic to rewrite the code for him in C++ and release it as a new version. Sounds like a win-win situation for all.

 

[DominiConnor]

Actually, I did do a translation for a good % of the book's VBA, don't know what happened to it, will hunt it down....