Download or read book Building Financial Derivatives Applications with C written by Robert Brooks and published by Bloomsbury Publishing USA. This book was released on 2000-03-30 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Radical developments in financial management, spurred by improvements in computer technology, have created demand for people who can use modern financial techniques combined with computer skills such as C++. Dr. Brooks gives readers the ability to express derivative solutions in an attractive, user-friendly format, and the ability to develop a permanent software package containing them. His book explains in detail how to write C++ source code and at the same time explains derivative valuation problems and methods. Entry level as well as experienced financial professionals have already found that the ability to understand and write C++ code has greatly enhanced their careers. This is an important hands-on training resource for practitioners and a clearly presented textbook for graduate-level students in business and finance. Dr. Brooks combines object-oriented C++ programming with modern derivatives technology and provides numerous examples to illustrate complex derivative applications. He covers C++ within the text and the Borland C++Builder program, on which the book is based, in extensive appendices. His book combines basic C++ coding with fundamental finance problems, illustrates traditional techniques for solving more complicated problems, and develops the reader's ability to express complex mathematical solutions in the object-oriented framework of C++. It also reviews derivative solutions techniques and illustrates them with C++ code, reviews general approaches to valuing interest rate contingent claims, and focuses on practical ways to implement them. The result is a book that trains readers simultaneously in the substance of its field, financial derivatives, and the programming of solutions to problems in it.
Download or read book Building Financial Derivatives Applications with C written by Robert Brooks and published by Praeger. This book was released on 2000-03-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Radical developments in financial management, spurred by improvements in computer technology, have created demand for people who can use modern financial techniques combined with computer skills such as C++. Dr. Brooks gives readers the ability to express derivative solutions in an attractive, user-friendly format, and the ability to develop a permanent software package containing them. His book explains in detail how to write C++ source code and at the same time explains derivative valuation problems and methods. Entry level as well as experienced financial professionals have already found that the ability to understand and write C++ code has greatly enhanced their careers. This is an important hands-on training resource for practitioners and a clearly presented textbook for graduate-level students in business and finance. Dr. Brooks combines object-oriented C++ programming with modern derivatives technology and provides numerous examples to illustrate complex derivative applications. He covers C++ within the text and the Borland C++Builder program, on which the book is based, in extensive appendices. His book combines basic C++ coding with fundamental finance problems, illustrates traditional techniques for solving more complicated problems, and develops the reader's ability to express complex mathematical solutions in the object-oriented framework of C++. It also reviews derivative solutions techniques and illustrates them with C++ code, reviews general approaches to valuing interest rate contingent claims, and focuses on practical ways to implement them. The result is a book that trains readers simultaneously in the substance of its field, financial derivatives, and the programming of solutions to problems in it.
Download or read book Options and Derivatives Programming in C written by CARLOS OLIVEIRA and published by Apress. This book was released on 2016-09-30 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn how C++ is used in the development of solutions for options and derivatives trading in the financial industry. As an important part of the financial industry, options and derivatives trading has become increasingly sophisticated. Advanced trading techniques using financial derivatives have been used at banks, hedge funds, and pension funds. Because of stringent performance characteristics, most of these trading systems are developed using C++ as the main implementation language. Options and Derivatives Programming in C++ covers features that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and support for numerical libraries. New features introduced in the C++11 and C++14 standard are also covered: lambda functions, automatic type detection, custom literals, and improved initialization strategies for C++ objects. Readers will enjoy the how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. It includes advanced C++ concepts as well as the basic building libraries used by modern C++ developers, such as the STL and Boost, while also leveraging knowledge of object-oriented and template-based programming. Options and Derivatives Programming in C++ provides a great value for readers who are trying to use their current programming knowledge in order to become proficient in the style of programming used in large banks, hedge funds, and other investment institutions. The topics covered in the book are introduced in a logical and structured way and even novice programmers will be able to absorb the most important topics and competencies. What You Will Learn Grasp the fundamental problems in options and derivatives trading Converse intelligently about credit default swaps, Forex derivatives, and more Implement valuation models and trading strategies Build pricing algorithms around the Black-Sholes Model, and also using the Binomial and Differential Equations methods Run quantitative finance algorithms using linear algebra techniques Recognize and apply the most common design patterns used in options trading Save time by using the latest C++ features such as the STL and the Boost libraries Who This Book Is For Professional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development. This book is written with the goal of reaching readers who need a concise, algorithms-based book, providing basic information through well-targeted examples and ready to use solutions. Readers will be able to directly apply the concepts and sample code to some of the most common problems faced in the analysis of options and derivative contracts.
Download or read book Building Financial Risk Management Applications with C written by Robert Brooks and published by Createspace Independent Publishing Platform. This book was released on 2013-01-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are numerous good books related to quantitative finance. There are also numerous good books related to programming in C++. The goal here is to bridge the gap between quantitative finance and C++. In many ways C++ has gotten both easier and harder over the past several years. We focus only on the easier techniques in C++. We do not attempt to provide state-of-the-art C++ programming. Rather we provide elementary techniques that are easy for the non-computer programming professional to understand. Specifically, we seek to aid the professional quantitative finance person in their quest to express their innovative ideas using elementary C++. As a consequence, this work should provide an aid to the professional computer programmer in their quest to understand quantitative finance.
Download or read book Modeling Derivatives Applications in Matlab C and Excel written by Justin London and published by Financial Times/Prentice Hall. This book was released on 2007 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.
Download or read book Monte Carlo Frameworks written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2011-08-02 with total page 775 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.
Download or read book Energy Convergence written by Peter C. Fusaro and published by John Wiley & Sons. This book was released on 2002-10-15 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy Convergence "Another outstanding contribution to the understanding of risk management by Peter Fusaro. A useful work for the workplace, executive management training, and the classroom." -Dennis O'Brien, Director, Institute for Energy Economics and Policy and John A. Brock Professor for Energy Economics and Policy Sarkeys Energy Center, University of Oklahoma "Energy Convergence identifies and addresses the key elements in the ongoing development and evolution of the energy trading markets. This book is an important addition to the literature on contemporary energy trading markets. It pulls together in one place thoughtful discussions about the way the energy markets are converging from different starting points." -Andrea S. Kramer, Partner, McDermott, Will & Emery, and author of Financial Products: Taxation, Regulation, and Design "Peter Fusaro is the worldly-wisest commentator on commodity markets and exchanges that I know and should have been listened to far more often than he has been. This new book provides everyone with a fresh opportunity. With several colleagues he has written the best up-to-date introduction to market risk management and energy trading which should be studied by both the new practitioner and the oldest hand on the exchange." -Napier Collyns, Cofounder of Global Business Network, former Public Director of the New York Mercantile Exchange "Peter Fusaro has once again assembled a team of energy professionals to provide their views on emerging commodity markets and evaluation techniques. The book provides an excellent overview of market developments and market interactions, as well as presenting the business case for convergence of commodity markets via online trading and the Internet. Overall, a very unique and insightful book." -Wayne Moore, Manager, Risk Control, Generation and Energy Marketing, Southern Company "Considering the recent upheavals in U.S. energy markets, from the California electricity crisis to Enron's demise, this volume provides a timely introduction for anyone interested in developing a better understanding of the turbulent nature and complex interdependencies of energy markets." -Riaz Siddiqi, President and CEO, Capstone Global Energy, LLC
Download or read book Computational Finance Using C and C written by George Levy and published by Academic Press. This book was released on 2008-06-13 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational Finance Using C and C# raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm’s internal software and code requirements. The book also provides derivatives pricing information for equity derivates (vanilla options, quantos, generic equity basket options); interest rate derivatives (FRAs, swaps, quantos); foreign exchange derivatives (FX forwards, FX options); and credit derivatives (credit default swaps, defaultable bonds, total return swaps). This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals. This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance. Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.
Download or read book Derivatives written by Wendy L. Pirie and published by John Wiley & Sons. This book was released on 2017-03-20 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: The complete guide to derivatives, from the experts at the CFA Derivatives is the definitive guide to derivatives, derivative markets, and the use of options in risk management. Written by the experts at the CFA Institute, this book provides authoritative reference for students and investment professionals seeking a deeper understanding for more comprehensive portfolio management. General discussion of the types of derivatives and their characteristics gives way to detailed examination of each market and its contracts, including forwards, futures, options, and swaps, followed by a look at credit derivatives markets and their instruments. Included lecture slides help bring this book directly into the classroom, while the companion workbook (sold separately) provides problems and solutions that align with the text and allows students to test their understanding while facilitating deeper internalization of the material. Derivatives have become essential to effective financial risk management, and create synthetic exposure to asset classes. This book builds a conceptual framework for understanding derivative fundamentals, with systematic coverage and detailed explanations. Understand the different types of derivatives and their characteristics Delve into the various markets and their associated contracts Examine the use of derivatives in portfolio management Learn why derivatives are increasingly fundamental to risk management The CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA, CIPM, and Investment Foundations Programs. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA lends to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Derivatives offers a complete course in derivatives and their markets.
Download or read book Modeling Derivatives in C written by Justin London and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 922 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Download or read book Building Automated Trading Systems written by Benjamin Van Vliet and published by Elsevier. This book was released on 2007-03-07 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution systems. Indeed, this is already happening. While several finance books provide C++ code for pricing derivatives and performing numerical calculations, none approaches the topic from a system design perspective. This book will be divided into two sections—programming techniques and automated trading system ( ATS ) technology—and teach financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. MS Visual C++.NET 2005 has been chosen as the implementation language primarily because most trading firms and large banks have developed and continue to develop their proprietary algorithms in ISO C++ and Visual C++.NET provides the greatest flexibility for incorporating these legacy algorithms into working systems. Furthermore, the .NET Framework and development environment provide the best libraries and tools for rapid development of trading systems. The first section of the book explains Visual C++.NET 2005 in detail and focuses on the required programming knowledge for automated trading system development, including object oriented design, delegates and events, enumerations, random number generation, timing and timer objects, and data management with STL.NET and .NET collections. Furthermore, since most legacy code and modeling code in the financial markets is done in ISO C++, this book looks in depth at several advanced topics relating to managed/unmanaged/COM memory management and interoperability. Further, this book provides dozens of examples illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL and FIX and XML/FIXML. Advanced programming topics such as threading, sockets, as well as using C++.NET to connect to Excel are also discussed at length and supported by examples. The second section of the book explains technological concerns and design concepts for automated trading systems. Specifically, chapters are devoted to handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management. A .dll is included in the book that will emulate connection to a widely used industry API ( Trading Technologies, Inc.’s XTAPI ) and provide ways to test position and order management algorithms. Design patterns are presented for market taking systems based upon technical analysis as well as for market making systems using intermarket spreads. As all of the chapters revolve around computer programming for financial engineering and trading system development, this book will educate traders, financial engineers, quantitative analysts, students of quantitative finance and even experienced programmers on technological issues that revolve around development of financial applications in a Microsoft environment and the construction and implementation of real-time trading systems and tools. * Teaches financial system design and development from the ground up using Microsoft Visual C++.NET 2005. * Provides dozens of examples illustrating the programming approaches in the book * Chapters are supported by screenshots, equations, sample Excel spreadsheets, and programming code
Download or read book Risk written by and published by . This book was released on 2002 with total page 678 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Practical C Financial Programming written by Carlos Oliveira and published by Apress. This book was released on 2015-03-12 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical C++ Financial Programming is a hands-on book for programmers wanting to apply C++ to programming problems in the financial industry. The book explains those aspects of the language that are more frequently used in writing financial software, including the STL, templates, and various numerical libraries. The book also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You’ll learn to design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries. You’ll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you’ll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry. Covers aspects of C++ especially relevant to financial programming. Provides working solutions to commonly-encountered problems in finance. Delivers in a refreshing and easy style with a strong focus on the practical.
Download or read book An Introduction to Mathematical Finance with Applications written by Arlie O. Petters and published by Springer. This book was released on 2016-06-17 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based, and theoretical problems, which probe the material deeper. The book is aimed toward advanced undergraduates and first-year graduate students who are new to finance or want a more rigorous treatment of the mathematical models used within. While no background in finance is assumed, prerequisite math courses include multivariable calculus, probability, and linear algebra. The authors introduce additional mathematical tools as needed. The entire textbook is appropriate for a single year-long course on introductory mathematical finance. The self-contained design of the text allows for instructor flexibility in topics courses and those focusing on financial derivatives. Moreover, the text is useful for mathematicians, physicists, and engineers who want to learn finance via an approach that builds their financial intuition and is explicit about model building, as well as business school students who want a treatment of finance that is deeper but not overly theoretical.
Download or read book An Introduction to Derivatives and Risk Management written by Don M. Chance and published by Thomson South-Western. This book was released on 2007 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides detailed but flexible coverage of options, futures, forwards, swaps, and risk management - as well as a solid introduction to pricing, trading, and strategy - allows instructors to selectively tailor inclusion of topics/chapters to fit the length of the course.
Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2021-11-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.
Download or read book C Design Patterns and Derivatives Pricing written by Mark Suresh Joshi and published by Cambridge University Press. This book was released on 2004-08-05 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.
