C++ Design Patterns and Derivatives Pricing

Author: M. S. Joshi

Publisher: Cambridge University Press

ISBN: 0521721628

Category: Business & Economics

Page: 292

View: 9800

Explains how to create well-designed, structured, reusable C++ code, particularly for financial applications.
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C++ Design Patterns and Derivatives Pricing

Author: Mark S. Joshi,Mark Suresh Joshi

Publisher: Cambridge University Press

ISBN: 9780521832359

Category: Business & Economics

Page: 199

View: 7922

Shows how to combine mathematical finance and object-oriented programming to practical effect.
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The Concepts and Practice of Mathematical Finance

Author: Mark Suresh Joshi

Publisher: Cambridge University Press

ISBN: 9780521823555

Category: Business & Economics

Page: 473

View: 1683

For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. The author brings to this book a blend of practical experience and rigorous mathematical background, and supplies here the working knowledge needed to become a good quantitative analyst.
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The Greeks and Hedging Explained

Author: Peter Leoni

Publisher: Springer

ISBN: 1137350741

Category: Business & Economics

Page: 134

View: 7742

A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -parameters that represent the sensitivity of derivatives prices.
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Introductory Course on Financial Mathematics

Author: M V Tretyakov

Publisher: World Scientific Publishing Company

ISBN: 190897740X

Category: Mathematics

Page: 276

View: 4416

This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book. Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective of quantifying and hedging risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas concerning derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a ‘sandwich’ structure: probability and stochastics are given in situ where mathematics can be readily illustrated by application to finance. The first part of the book introduces one of the main principles in finance — ‘no arbitrage pricing’. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. The second part deals with pricing and hedging of European- and American-type options in the discrete-time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time discrete-space stochastic processes used in financial modelling are considered. The third part introduces the Wiener process, Ito integrals and stochastic differential equations, but its main focus is the famous Black–Scholes formula for pricing European options. Some guidance for further study within this exciting and rapidly changing field is given in the concluding chapter. There are approximately 100 exercises interspersed throughout the book, and solutions for most problems are provided in the appendices.
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Computational Finance Using C and C#

Author: George Levy

Publisher: Academic Press

ISBN: 9780080878072

Category: Business & Economics

Page: 384

View: 9165

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.
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JASA

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Statistics

Page: N.A

View: 2723

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Moderne C++ Programmierung

Klassen, Templates, Design Patterns

Author: Ralf Schneeweiß

Publisher: Springer Science & Business Media

ISBN: 3540222812

Category: Computers

Page: 413

View: 1794

C++ ist eine objektorientierte Programmiersprache, neben der Objektorientierung gewinnt aber die generische Programmierung mittels parametrisierbaren Klassen oder Templates zunehmend an Bedeutung, da diese Methode gro??e Vorteile gegen??ber der objektorientierten aufweist, wenn es darum geht, wiederverwendbaren Code zu schreiben. Dieses Buch liefert eine fundierte Darstellung des modernen Programmdesigns in C++ gem???? dem ANSI/ISO-Standard. Der Autor gibt dabei zun??chst ein kompaktes Repetitorium der grundlegenden Sprachelemente von C++ und erl??utert dann detailliert die klassische objektorientierte Modellierung sowie die modernen Techniken der generischen Programmierung mittels Templates und Design Patterns.
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Equity Derivatives and Market Risk Models

Author: N.A

Publisher: N.A

ISBN: 9781899332878

Category: Derivative securities

Page: 224

View: 1360

The definitive practitioners' reference on the advanced use of equity derivatives.
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C++ for Financial Mathematics

Author: John Armstrong

Publisher: CRC Press

ISBN: 1498750079

Category: Business & Economics

Page: 410

View: 3338

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.
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Numerical Methods in Finance with C++

Author: Maciej J. Capiński,Tomasz Zastawniak

Publisher: Cambridge University Press

ISBN: 1139536273

Category: Business & Economics

Page: N.A

View: 2439

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
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Die intelligente Asset Allocation

Wie man profitable und abgesicherte Portfolios erstellt

Author: William J. Bernstein

Publisher: FinanzBuch Verlag

ISBN: 3862488365

Category: Business & Economics

Page: 217

View: 1509

William J. Bernstein ist in Fachkreisen längst als Guru der Investmentwelt bekannt. Er betreibt eine der weltweit erfolgreichsten Investment-Websites. In diesem Buch erklärt er wie man sicher, einfach und ohne großen Zeitaufwand sein Portfolio zusammenstellen kann. Dabei beruft er sich auf Techniken, mit denen seit Jahrzehnten erfolgreich Investiert wird. Mit nur 30 Minuten Zeitaufwand im Jahr kann damit jeder ein Portfolio zusammenstellen, das 75 Prozent aller professionell gemanagten Aktienkörbe hinter sich lässt.
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Philosophie des Geldes

Author: Georg Simmel

Publisher: FV Éditions

ISBN: 2366687516

Category: Philosophy

Page: 400

View: 3214

"Das Geld steht vermöge der Abstraktheit seiner Form jenseits aller bestimmten Beziehungen zum Raum: Es kann seine Wirkungen in die weitesten Fernen erstrecken, ja, es ist gewissermaßen in jedem Augenblick der Mittelpunkt eines Kreises potenzieller Wirkungen." G. Simmel Inhaltsverzeichnis : . Wert und Geld . Der Substanzwert des Geldes . Das Geld in den Zweckreihen . Die individuelle Freiheit . Das Geldäquivalent personaler Werte . Der Stil des Lebens
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Wirtschaftsstatistik

Author: Heiner Abels

Publisher: VS Verlag für Sozialwissenschaften

ISBN: 9783531113593

Category: Business & Economics

Page: 132

View: 335

Die hier vorgelegte "Wirtschaftsstatistik" richtet sich primar an die (Erstsemester-) Studenten der Wirtschaftswissenschaft. Da keine Vorkenntnisse vorausgesetzt wer den, sind im Kapitel A u. a. grundlegende methodische Probleme wie die Berech nung von Indexzahlen oder von VeranderungsgroBen aus der Sicht des Benutzers (amtlicher) wirtschaftsstatistischer Daten dargestellt. 1m Kapitel B werden schwerpunktartig ausgewahlte Teilbereiche wie die Preis entwicklung, die Nachfrageentwicklung oder die AuBenhandeisentwicklung be trachtet, wobei ausschlieBlich auf die kurzfristigen (laufenden) amtlichen Statisti ken abgestellt wird. Die damit angesprochenen Fragen finden in den letzten J ah ren angesichts der ausgepragten Konjunkturschwankungen eine starkere Beach tung. Der Vergleich zwischen den wirtschaftstheoretischen Begriffen bzw. Frage stellungen und dem jeweiligen methodischen Vorgehen der Wirtschaftsstatistik macht deutlich, daB wirtschaftsstatistische Informationen in den seltensten Fallen als gebrauchsfertige Ergebnisse betrachtet werden durfen. Angesichts der zuneh mend en Bedeutung der empirischen Wirtschaftsforschung und angesichts der sich abzeichnenden Skepsis gegenuber einer breiteren Anwendung mathematisch-sta tistischer Verfahren und okonometrischer Techniken in der Wirtschaftswissen schaft, die nicht zuletzt auf einen oftmals allzu sorglosen Umgang mit wirtschafts statistischen Daten zurlickzufuhren ist, scheint eine starkere Beachtung der in der amtlichen statistischen Arbeit benutzten Verfahren und Abgrenzungen angebracht zu sein. In diesem Zusammenhang ist auch die Aufnahme des Abschnitts Fehler und Fehlerfortpflanzung in diesen Text zu sehen. Das Kapitel C faBt die wichtigsten Grundlagen der Volkswirtschaftlichen Ge samtrechnungen zusammen.
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The Rise of the Quants

Marschak, Sharpe, Black, Scholes and Merton

Author: C. Read

Publisher: Springer

ISBN: 1137026146

Category: Business & Economics

Page: 195

View: 2794

The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, answering the question 'how do we measure risk?'
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Stanford Bulletin

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Education

Page: N.A

View: 8984

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STL

kurz & gut

Author: Ray Lischner

Publisher: O'Reilly Germany

ISBN: 9783897212664

Category:

Page: 134

View: 1727

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