Sunday, July 25, 2010

2010-07-25 Sunday - Paul Wilmott Introduces Quantitative Finance, 2nd Ed.

Enjoyed spending some time this afternoon coding #Java implementations of ideas from: Paul Wilmott introduces Quantitative Finance, 2nd Ed. - working on some ideas for an Open Source Quantitative Finance library.
















This is by far one of the best introductory books on the market.  Easily readable - concise - excellent examples - and good coverage of the material.  Buy this book first - then consider Wilmott's 3-volume edition that expands further on the material.


http://quantlib.org/ (C++)

http://www.jquantlib.org (Java)

JQuantLib is a free, open-source and comprehensive framework for quantitative finance, offering several mathematical and statistical tools needed for financial instrument valuation, calculation of VaR, portfolio valuation, etc. JQuantLib is written in Java and is based on QuantLib, which is written in C++. QuantLib is a de-facto reference implementation for C++ world. Following the steps of its predecessor, JQuantLib aims to become a reference implementation for Java world. JQuantLib does its best efforts to mimic as close as possible the API exposed by QuantLib, offering a smooth transition path for developers and organizations aiming to adopt Java for high performance, low latency applications.

Other recent books I've added to my reading stack:

















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