Financial Instrument Pricing Using C++

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

ISBN: 1119170486

Category: Business & Economics

Page: 1168

View: 4710

An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by: Delving into a detailed account of the new C++11 standard and its applicability to computational finance. Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity. Developing multiparadigm software using the object-oriented, generic, and functional programming styles. Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns. Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models. Developing applications, from financial model to algorithmic design and code, through a coherent approach. Generating interoperability with Excel add-ins, C#, and C++/CLI. Using random number generation in C++11 and Monte Carlo simulation. Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing. HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be “C++ Book Source Code Request”. You will receive a reply with a zip file attachment.

Introduction to C++ for Financial Engineers

An Object-Oriented Approach

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

ISBN: 1118856465

Category: Business & Economics

Page: 440

View: 4152

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Eine Tour durch C++

Die kurze Einführung in den neuen Standrad C++11

Author: Bjarne Stroustrup

Publisher: Carl Hanser Verlag GmbH Co KG

ISBN: 3446439838

Category: Computers

Page: 200

View: 8725

EINE TOUR DURCH C++ // - Dieser Leitfaden will Ihnen weder das Programmieren beibringen noch versteht er sich als einzige Quelle, die Sie für die Beherrschung von C++ brauchen – aber diese Tour ist wahrscheinlich die kürzeste oder einfachste Einführung in C++11. - Für C- oder C++-Programmierer, die mit der aktuellen C++-Sprache vertrauter werden wollen - Programmierer, die in einer anderen Sprache versiert sind, erhalten ein genaues Bild vom Wesen und von den Vorzügen des modernen C++ . Mit dem C++11-Standard können Programmierer Ideen klarer, einfacher und direkter auszudrücken sowie schnelleren und effizienteren Code zu schreiben. Bjarne Stroustrup, der Designer und ursprüngliche Implementierer von C++, erläutert die Details dieser Sprache und ihre Verwendung in seiner umfassenden Referenz „Die C++-Programmiersprache“. In „Eine Tour durch C++“ führt Stroustrup jetzt die Übersichtskapitel aus der Referenz zusammen und erweitert sie so, dass auch erfahrene Programmierer in nur wenigen Stunden eine Vorstellung davon erhalten, was modernes C++ ausmacht. In diesem kompakten und eigenständigen Leitfaden behandelt Stroustrup – neben Grundlagen – die wichtigsten Sprachelemente und die wesentlichen Komponenten der Standardbibliothek. Er präsentiert die C++-Features im Kontext der Programmierstile, die sie unterstützen, wie die objektorientierte und generische Programmierung. Die Tour beginnt bei den Grundlagen und befasst sich dann mit komplexeren Themen, einschließlich vieler, die neu in C++11 sind wie z.B. Verschiebesemantik, einheitliche Initialisierung, Lambda-Ausdrücke, verbesserte Container, Zufallszahlen und Nebenläufigkeit. Am Ende werden Design und Entwicklung von C++ sowie die in C++11 hinzugekommenen Erweiterungen diskutiert. Programmierer erhalten hier – auch anhand von Schlüsselbeispielen – einen sinnvollen Überblick und praktische Hilfe für den Einstieg. AUS DEM INHALT // Die Grundlagen // Benutzerdefinierte Typen // Modularität // Klassen // Templates // Überblick über die Bibliothek // Strings und reguläre Ausdrücke // E/A-Streams // Container // Algorithmen // Utilities // Numerik // Nebenläufigkeit // Geschichte und Kompatibilität

Das LEGO®-Abenteuerbuch 2

Raumschiffe, Piraten, Drachen und mehr!

Author: Megan H. Rothrock

Publisher: dpunkt.verlag

ISBN: 3864915422

Category: Juvenile Nonfiction

Page: 196

View: 1165

Lass Deiner Phantasie freien Lauf, wenn Du Dich mit Megs und Brickbot auf die Reise durch die vielfältigen LEGO®-Welten in diesem zweiten »LEGO-Abenteuerbuch« begibst. Schau ihnen zu, wie sie dem Zerstörer folgen und die Modelle neu erbauen. Diese inspirierende Tour ist angefüllt mit tollen Bildern, Schritt-für-Schritt-Anleitungen für zahlreiche Modelle und vielen Beispielen der weltbesten LEGO-Baumeister. Lerne dabei coole Raumschiffe, exotische Piratenbehausungen, feuerspeiende Drachen, schnelle Autor und vieles mehr zu bauen. Ob Du LEGO ganz neu entdeckst oder schon seit Jahren selber baust - dieses Buch wird Deine Phantasie anregen und Dich motivieren, weiter zu bauen!

Computational Finance Set

Author: George Levy

Publisher: Academic Press

ISBN: 9780123747105

Category: Business & Economics

Page: 840

View: 7852

This set contains two previously published books on computational finance: Computational Finance presents a modern computational approach to mathematical finance within the Windows environment. George Levy illustrates how numeric components can be developed by Financial Analysts that allow financial routines on the computer to be more easily performed. This book contains a bound in CD-ROM. In Computational Finance Using C and C#, Levy 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. Levy also provides derivatives pricing information for equity derivates, interest rate derivatives, foreign exchange derivatives, and credit derivatives. A unique password is bound into every book, giving the reader access to additional software on password protected website. *Shows how to incorporate advanced financial modelling techniques in Windows compatible software * Includes CD-ROM with adaptive software * Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options *Complete financial instrument pricing code in standard C and C# available to book buyers on companion website * Provides software design patterns in C and C# and the use of SQL server

Wiley IFRS

Practical Implementation Guide and Workbook

Author: Abbas A. Mirza,Magnus Orrell,Graham Holt

Publisher: John Wiley & Sons

ISBN: 9781118045213

Category: Business & Economics

Page: 496

View: 8132

Wiley IFRS: Practical Implementation Guide and Workbook, Second Edition is a quick reference guide on IFRS/IAS that includes easy-to-understand IFRS/IAS standards outlines, practical insights, case studies with solutions, illustrations and multiple-choice questions with solutions. The book greatly facilitates your understanding of the practical implementation issues involved in applying these complex "principles-based" standards. PS-Line

The Big Short - Wie eine Handvoll Trader die Welt verzockte

Author: Michael Lewis

Publisher: Campus Verlag

ISBN: 3593393573

Category: Political Science

Page: 319

View: 3446

"The Big Short" erzählt von der Erfindung einer monströsen Geldmaschine: Ein paar Hedgefond-Manager sehen das katastrophale Platzen der amerikanischen Immobilienblase nicht nur voraus, sondern sie wetten sogar im ganz großen Stil darauf. Den Kollaps des Systems befördern sie unter anderem mittels des sogenannten "shortings", Leerverkäufen von Aktien großer Investmentbanken. Doch zu jeder Wette gehört auf der anderen Seite auch einer, der sie hält. Lewis entlarvt anhand seiner Protagonisten ein System, das sich verselbständigt und mit moralischen Kategorien wie Habgier oder Maßlosigkeit längst nicht mehr zu fassen ist. Der Zusammenbruch der Finanzmärkte, so lernen wir in diesem Buch, war ein kurzer Moment der Vernunft: Der Wahnsinn hatte sich in den Jahren davor abgespielt.

Discrete-time Asset Pricing Models in Applied Stochastic Finance

Author: P. C. G. Vassiliou

Publisher: John Wiley & Sons

ISBN: 1118618661

Category: Mathematics

Page: 416

View: 2760

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. Volume 1 starts with the introduction of the basic financial instruments and the fundamental principles of financial modeling and arbitrage valuation of derivatives. Next, we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and martingales in discrete time. However, we do not expand beyond the needs of the stochastic finance framework. Numerous examples, each highlighted and isolated from the text for easy reference and identification, are included. The book concludes with the use of the binomial model to introduce interest rate models and the use of the Markov chain model to introduce credit risk. This volume is designed in such a way that, among other uses, makes it useful as an undergraduate course.

Modeling Derivatives in C++

Author: Justin London

Publisher: John Wiley & Sons

ISBN: 047168189X

Category: Business & Economics

Page: 840

View: 9593

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.

Das Kyoto-Protokoll

Internationale Klimapolitik für das 21. Jahrhundert

Author: Sebastian Oberthür,Hermann E. Ott

Publisher: Springer-Verlag

ISBN: 3663014347

Category: Social Science

Page: 443

View: 5255

Die internationale Klimapolitik ist an einem Wendepunkt angekommen. Die Annahme des Kyoto-Protokolls ist ein großer Schritt in dem Versuch der Menschheit, die schädlichen Folgen des Klimawandels zu begrenzen. Dieses Buch, geschrieben von zwei deutschen Experten, erklärt die naturwissenschaftlichen, ökonomischen sowie politischen Bedingungen desTreibhauseffekts und erläutert die Hintergründe der Annahme des Kyoto-Protokolls. Das Buch analysiert in seinem Mittelteil den Vertragstext im Stile eines Gesetzeskommentars, nennt die offenen Fragen und gibt mögliche Antworten für die Weiterentwicklung der Normen. In einem dritten Teil werden Schlussfolgerungen gezogen, die politische Landschaft nach Kyoto beleuchtet und eine Leadership-Initiative für die Europäische Union vorgestellt, um die Handlungsmacht gegenüber den USA wieder zu erlangen.

Financial Modelling in Python

Author: Shayne Fletcher,Christopher Gardner

Publisher: John Wiley & Sons

ISBN: 0470747897

Category: Business & Economics

Page: 244

View: 3172

"Fletcher and Gardner have created a comprehensive resource that will be of interest not only to those working in the field of finance, but also to those using numerical methods in other fields such as engineering, physics, and actuarial mathematics. By showing how to combine the high-level elegance, accessibility, and flexibility of Python, with the low-level computational efficiency of C++, in the context of interesting financial modeling problems, they have provided an implementation template which will be useful to others seeking to jointly optimize the use of computational and human resources. They document all the necessary technical details required in order to make external numerical libraries available from within Python, and they contribute a useful library of their own, which will significantly reduce the start-up costs involved in building financial models. This book is a must read for all those with a need to apply numerical methods in the valuation of financial claims." –David Louton, Professor of Finance, Bryant University This book is directed at both industry practitioners and students interested in designing a pricing and risk management framework for financial derivatives using the Python programming language. It is a practical book complete with working, tested code that guides the reader through the process of building a flexible, extensible pricing framework in Python. The pricing frameworks' loosely coupled fundamental components have been designed to facilitate the quick development of new models. Concrete applications to real-world pricing problems are also provided. Topics are introduced gradually, each building on the last. They include basic mathematical algorithms, common algorithms from numerical analysis, trade, market and event data model representations, lattice and simulation based pricing, and model development. The mathematics presented is kept simple and to the point. The book also provides a host of information on practical technical topics such as C++/Python hybrid development (embedding and extending) and techniques for integrating Python based programs with Microsoft Excel.

Pricing Growth-Indexed Bonds

Author: Marcos Chamon,Paolo Mauro

Publisher: International Monetary Fund

ISBN: N.A

Category: Debts, Public

Page: 26

View: 5030

Growth-indexed bonds have been suggested as a way of reducing the procyclicality of emerging-market countries' fiscal policies and the likelihood of costly debt crises. Investor attitude surveys suggest that pricing difficulties are seen as a considerable obstacle. In an effort to reduce such concerns, this article presents a simple way of pricing growth-indexed bonds. As a pleasant by-product, the analysis tracks the quantitative implications of an increase in the share of growth-indexed bonds in total debt, measuring the ensuing decline in the probability of default and the reduction in the spreads at which standard bonds can be issued.

Jahrmarkt der Eitelkeit (Vanity Fair)

Author: William Makepeace Thackeray

Publisher: Musaicum Books

ISBN: 8027210631

Category: Fiction

Page: 992

View: 9004

Jahrmarkt der Eitelkeit (Vanity Fair) ist ein wichtiges Werk des englischen Schriftstellers William Makepeace Thackeray. Der Gesellschaftsroman bietet ein facettenreiches, alle sozialen Klassen einschließendes Bild der Londoner Gesellschaft zu Anfang des 19. Jahrhunderts und zeichnet sich durch seinen ironischen Stil und seine präzise Darstellung der handelnden Figuren und ihrer Charaktere aus. Die Geschichte beginnt in Miss Pinkertons "Erziehungsanstalt für junge Damen", wo Becky Sharp und Amelia Sedley soeben ihr Studium abgeschlossen haben und sich auf ihre Abreise in Amelias Haus am Russell Square vorbereiten. Becky wird als willensstarke und gewandte junge Frau beschrieben, die entschlossen ist, sich in der Gesellschaft zu behaupten und ihren Weg zu gehen, Amelia hingegen als gutmütiges, liebenswertes, aber einfältiges junges Mädchen. Am Russell Square wird Becky Sharp dem schneidigen, egozentrischen Captain George Osborne vorgestellt (mit dem Amelia von frühester Jugend an verlobt ist), sowie auch Amelias Bruder, Joseph "Joe" Sedley, einem tollpatschigen und prahlerischen, aber reichen Angehörigen der Britischen Ostindien-Kompanie, der gerade ins Vereinigte Königreich zurückgekehrt ist. William Makepeace Thackeray (1811-1863) war ein englischer Schriftsteller und gilt neben Charles Dickens und George Eliot als bedeutendster englischsprachiger Romancier des Viktorianischen Zeitalters.

Dieses Mal ist alles anders

Acht Jahrhunderte Finanzkrisen

Author: Carmen Reinhart,Kenneth Rogoff

Publisher: FinanzBuch Verlag

ISBN: 3862484394

Category: Business & Economics

Page: 576

View: 7302

Dieses Mal ist alles anders, dieses Mal kann es gar nicht so schlimm werden wie beim letzten Mal. Denn dieses Mal steht die Wirtschaft auf soliden Füßen und außerdem gibt es diesmal viel bessere Kontrollmechanismen als beim letzten Mal. Wann immer es in der Geschichte der Menschheit zu Krisen kam, diese oder ähnliche Sätze waren jedes Mal zu hören. Doch was ist dran an derartigen Behauptungen? Nicht besonders viel, haben Kenneth Rogoff und Carmen Reinhart herausgefunden. In akribischer Arbeit haben die beiden Autoren die Finanzkrisen der letzen acht Jahrhunderte in über 66 Ländern analysiert. In sechs Abschnitten stellen Reinhart und Rogoff ihre Untersuchungsergebnisse vor, beginnend bei den zugrundeliegenden theoretischen Ansätzen. Darauf basieren die folgenden Kapitel, in denen Auslands- und Inlandsschuldenkrisen sowie Bankenkrisen abgehandelt werden. Der vierte Abschnitt widmet sich dann auch der US-Subprimekrise und zeigt eindrucksvoll die Parallelen zu den vorhergegangenen Kapiteln. Zum Schluss ziehen die beiden Autoren die Lehren aus ihrer Untersuchung und kommen zu dem Ergebnis: Es ist dieses Mal eben doch nicht anders.

Modernes C++ Design

generische Programmierung und Entwurfsmuster angewendet

Author: Andrei Alexandrescu

Publisher: mitp Verlags GmbH & Co. KG

ISBN: 9783826613470

Category:

Page: 424

View: 5680


Off-balance Sheet Activities

Author: Joshua Ronen,Anthony Saunders,Ashwinpaul C. Sondhi,Vincent C. Ross Institute of Accounting Research,Salomon Brothers Center for the Study of Financial Institutions,Leonard N. Stern School of Business

Publisher: Greenwood Publishing Group

ISBN: 9780899306131

Category: Business & Economics

Page: 182

View: 5303

The objective of "Off-Balance Sheet Activities" is to gain insights into, and propose meaningful solutions to, those issues raised by the current proliferation of off-balance sheet transactions. The book has its origins in a New York University conference that focused on this topic. Jointly undertaken by the Vincent C. Ross Institute of Accounting Research and New York University's Salomon Center for the study of Financial Institutions at the Stern School of Business, the conference brought together academic researchers and practitioners in the field of accounting and finance to address the issues with the broad-mindedness requisite of a group whose approaches to solutions are as different from each other as their respectively theoretical and applied approaches to the disciplines of finance and accounting. The essays are divided into two sections. The first covers issues surrounding OBS activities and banking and begins with a brief introduction that places the essays into context. OBS activities and the underinvestment problem, whether loan sales are really OBS, and money demand and OBS liquidity are examined in detail. Section two, which also begins with a brief introduction, focuses on issues of securitized assets and financing. A report on recognition and measurement issues in accounting for securitized assets is followed by three separate discussion essays. Other subjects covered include contract theoretic analysis of OBS financing, the use of OBS financing to circumvent financial covenant restrictions, and debt contracting and financial contracting. The latter two contributions are also followed by discussion essays. This unique collection of papers will prove to be an interesting and valuable tool for accounting and finance professionals as well as for academics involved in these fields. It will also be an important addition to public, college, and university libraries.

Financial Risk Management

A Practitioner's Guide to Managing Market and Credit Risk

Author: Steve L. Allen

Publisher: John Wiley & Sons

ISBN: 1118231643

Category: Business & Economics

Page: 608

View: 454

A top risk management practitioner addresses the essential aspects of modern financial risk management In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today's dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management. Allen explores real-world issues such as proper mark-to-market valuation of trading positions and determination of needed reserves against valuation uncertainty, the structuring of limits to control risk taking, and a review of mathematical models and how they can contribute to risk control. Along the way, he shares valuable lessons that will help to develop an intuitive feel for market risk measurement and reporting. Presents key insights on how risks can be isolated, quantified, and managed from a top risk management practitioner Offers up-to-date examples of managing market and credit risk Provides an overview and comparison of the various derivative instruments and their use in risk hedging Companion Website contains supplementary materials that allow you to continue to learn in a hands-on fashion long after closing the book Focusing on the management of those risks that can be successfully quantified, the Second Edition of Financial Risk Management + Websiteis the definitive source for managing market and credit risk.