Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++ : Wilmott Magazine Article – Daniel Duffy and Joerg Kienitz

Daniel Duffy and Joerg Kienitz describe design and implementation of a software architecture in C++ to model one-factor and multifactor option pricing problems

We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pay attention to the fact that different kinds of applications have their own specific accuracy, performance and functional requirements. To this end, we apply the design patterns that we have discussed in previous editions of Wilmott. In this way we ensure that the software can be customized to suit new and changing requirements.

Logged-in members can download the article by clicking the link below. To log in or register visit here.

Related Posts

The Alternating Direction Explicit (ADE) Method fo... In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, loca...
Order Statistics for Value at Risk Estimation and ... We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest...
Monte Carlo in Esperanto This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser i...
Not-so-complex Logarithms in the Heston Model In Heston's stochastic volatility framework , semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ...
American π: Piece of Cake? An American option can be exercised by its holder at any time he wishes, not just at the expiration date. Textbooks tell you that pricing it in the co...
Automatic Differentiation for the Greeks The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option posit...
An Asymptotic FX Option Formula in the Cross Curre... In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an ...
CCR KVA Relief Through CVA, Homotopy Analysis for ... In ‘CCR KVA Relief through CVA: a Regression-based Monte Carlo Approach’, published in the January 2019 issue of Wilmott Magazine,  Christop...
110509_duffy