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05 November 2004

quant books

Quantlib admonishes, "[M]any good quants are wasting their time writing C++ classes which have been already written thousands of times."

Maybe these books are at fault. ;-)

» C++ Design Patterns and Derivatives Pricing

» Modeling Derivatives in C++

» The Concepts and Practice of Mathematical Finance

» Monte Carlo Methods in Financial Engineering

» Computational Finance: Numerical Methods for Pricing Financial Instruments

There's also a listmania on quantitative finance by "ubergeek1970".


Posted by ngps at 00:57 | Comments (3) | Trackbacks (0)
Comments
Re: quant books

It's also because people want to be able, if need arises, to create an Excel "add-on" using their models. FEA is an example of a company that makes such add-ons.


It all boils down to flexibility that Lisp people like to brag about - although at a different level: same code could be used both within a large-scale system and ad-hoc spreadsheets.

Posted by: MeanGene at November 05,2004 09:41
Re: quant books

To go off on a marketing tangent, I wonder if Excel can ever be displaced by, I dunno, the OoOoo spreadsheet or Kspread or whatever in this niche?

Or maybe something based on ZigZag?

But I do believe this is a marketing thing and a better mouse trap by itself won't do.

Posted by: Ng Pheng Siong at November 05,2004 10:11
Re: quant books

Just like the once-mighty Lotus 1-2-3 has been displaced by Excel around 1996-1997, Excel can be displaced of course. Just need a product that ties better with an OS.

Posted by: MeanGene at November 05,2004 11:11
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