以下是引用huigema在2006-10-22 11:25:00的发言:
1 0.C++ design patterns and derivatives pricing--Mark Joshi
聪聪推荐:对于懂得C++基础的人来说很重要,更重要的是教你学会Monte Carlo。
本人看法:图书馆没有,暂时不考虑。
11. Modeling derivatives in C++ --Justin London(印)
聪聪推荐:其实这一本就够了,各种model如何编程都有写,虽然这些model比较老呵
呵。最实用的一本书!!作者现在美国,具体干什么不清楚,拿了无数个学位。
本人看法:很厚的一本书,model覆盖全面。聪聪记错了书名,卡卡。
Senior quant:(我不够格!大家看看当作搞笑吧)
12&13&14: Effective C++/More effective C++/effective STL--Scott Meyer
聪聪推荐:C++太重要了!我现在最愁的就是我的编程了!作者在美国,C++的顶尖人
物。
15. Numerical recipes in C++--William, Saul(电子版)
聪聪推荐:计算方法,非常重要的一本书!作者都在美国各个实验室?
本人看法:暂时都不考虑,有空再看。
各个专门方面:(这个大家就别信我了,看
MJ's book is REALLY good. Highly recommended, but MJ only covers Monte Carlo and trees.
JL's book is criticized by many quants and developers. It just copys Quantlib without any explanation.
SM's effectives are also good, but not closely related to quant programming.
NRC++ sucks. It is just NRC, but everything is put in a c++ namespace. That being said, NRC is indispensible for every quant. You just do not find another book of the same kind and it's freely available on the web. However, the C code is sometimes not very elegant, but again it is a must.
DD has two books focused on FDM in C++. Both are good, but not as good as MJ's imho. A third one is coming on basic c++ in financial engineering.