[Cuchulainn]

I am working on the second edition of my 2004 book. The focus on on using standardised C++ 11, STL, Boost and other de-facto libraries for a range of numerical methods in computational finance. The book also reflects a number of developments in C++ that show how the language has matured in recent years. e.g. smart pointers, concurrency, higher-order functions.

One of the goals is to use as much software as possible from standard libraries. The code will be tested for both Windows and linux (and source code + makefiles provided).

The C++/Excel interop remains important and this has become much easier in recent years.

A work-in-progress breakdown is (approx 30 chapters in total)

I. C++ 11 and STL A-Z
II. Building and using numerical libraries as building blocks
III. PDE (1d, 2d, 3d) models, the usual suspects
IV. Monte Carlo
V. Interpolation, bootstrapping, optimisation, calibration
VI. Parallel Programming applications
VII. C++/Excel and C++/C# interop
VIII. What about design and Maintainability?

The publisher is John Wiley and Sons, Chichester.

Thanks

Daniel J. Duffy