Presented by: Erik Schlögl, Director, Quantitative Finance Research Centre, UTS Business School

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Time: 5:30pm

Date: Tuesday 3 December 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT

In many quantitative finance applications, MC simulation is the easiest numerical method to implement, and for high–dimensional problems it is often the most efficient. It is also a field of application where generic and object-oriented programming techniques assist in building a powerful toolbox. Following a philosophy that ideally every bit of functionality should be implemented once (only) in a well-designed library, I will discuss how building blocks can be created, representing the generic Monte Carlo algorithm, various control variate techniques, the Longstaff/Schwartz evaluation of early exercise, and quasi-random number generation. In addition to their applicability to more straightforward cases, these same building blocks can be combined, for example, to analyse Bermudan products combining equity, interest rate and currency risk under any risk-neutral or real-world probability measure, or to combine control variate techniques with quasi-random number generation, in each case without the need to re-code the building blocks. This presentation is based on work covered in the book Quantitative Finance: An Object-Oriented Approach in C++.

Sponsored by Westpac

Slides of the presentation are available here.

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