Articles
C++
Articles
Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods
We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]
Wilmott Inner Circle
The Boost C++ Libraries Overview and Applicability to Computational Finance: Part I
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Articles
Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++ : Wilmott Magazine Article – Daniel Duffy and Joerg Kienitz
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 […]