Financial Instrument Pricing Using C++

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

ISBN: 1118856473

Category: Business & Economics

Page: 432

View: 4600

One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications: Using the Standard Template Library (STL) in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis (numerical linear algebra ?) Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C++ Integration with the ?Gang of Four? Design Patterns Interfacing with Excel (output and Add-Ins) Financial engineering and XML Cash flow and yield curves Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique... Let's all give a warm welcome to modern pricing tools.' -- Paul Wilmott, mathematician, author and fund manager

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: 8883

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: 788

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

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: 9006

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

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: 875

Stochastic finance and financial engineering have been rapidlyexpanding fields of science over the past four decades, mainly dueto the success of sophisticated quantitative methodologies inhelping professionals manage financial risks. In recent years, wehave witnessed a tremendous acceleration in research efforts aimedat better comprehending, modeling and hedging this kind ofrisk. These two volumes aim to provide a foundation course on appliedstochastic finance. They are designed for three groups of readers:firstly, students of various backgrounds seeking a core knowledgeon the subject of stochastic finance; secondly financial analystsand practitioners in the investment, banking and insuranceindustries; and finally other professionals who are interested inlearning advanced mathematical and stochastic methods, which arebasic knowledge in many areas, through finance. Volume 1 starts with the introduction of the basic financialinstruments and the fundamental principles of financial modelingand arbitrage valuation of derivatives. Next, we use thediscrete-time binomial model to introduce all relevant concepts.The mathematical simplicity of the binomial model also provides uswith the opportunity to introduce and discuss in depth conceptssuch as conditional expectations and martingales in discrete time.However, we do not expand beyond the needs of the stochasticfinance framework. Numerous examples, each highlighted and isolatedfrom the text for easy reference and identification, areincluded. The book concludes with the use of the binomial model tointroduce interest rate models and the use of the Markov chainmodel to introduce credit risk. This volume is designed in such away that, among other uses, makes it useful as an undergraduatecourse.

Financial Modelling in Python

Author: Shayne Fletcher,Christopher Gardner

Publisher: John Wiley & Sons

ISBN: 0470747897

Category: Business & Economics

Page: 244

View: 6932

"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.

Modeling Derivatives in C++

Author: Justin London

Publisher: John Wiley & Sons

ISBN: 047168189X

Category: Business & Economics

Page: 840

View: 2210

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.

Pricing Growth-Indexed Bonds

Author: Marcos Chamon,Paolo Mauro

Publisher: International Monetary Fund

ISBN: N.A

Category: Debts, Public

Page: 26

View: 1174

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.

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: 9967

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: 9420

A top risk management practitioner addresses the essentialaspects of modern financial risk management In the Second Edition of Financial Risk Management +Website, market risk expert Steve Allen offers an insider'sview of this discipline and covers the strategies, principles, andmeasurement techniques necessary to manage and measure financialrisk. Fully revised to reflect today's dynamic environment and thelessons to be learned from the 2008 global financial crisis, thisreliable resource provides a comprehensive overview of the entirefield of risk management. Allen explores real-world issues such as proper mark-to-marketvaluation of trading positions and determination of needed reservesagainst valuation uncertainty, the structuring of limits to controlrisk taking, and a review of mathematical models and how they cancontribute to risk control. Along the way, he shares valuablelessons that will help to develop an intuitive feel for market riskmeasurement 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 creditrisk Provides an overview and comparison of the various derivativeinstruments and their use in risk hedging Companion Website contains supplementary materials that allowyou to continue to learn in a hands-on fashion long after closingthe book Focusing on the management of those risks that can besuccessfully quantified, the Second Edition of FinancialRisk Management + Websiteis the definitive source for managingmarket and credit risk.

The Big Short - Wie eine Handvoll Trader die Welt verzockte

Author: Michael Lewis

Publisher: Campus Verlag

ISBN: 3593393573

Category: Political Science

Page: 319

View: 787

"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.

Probability and finance

it's only a game!

Author: Glenn Shafer,Vladimir Vovk

Publisher: Wiley-Interscience

ISBN: N.A

Category: Business & Economics

Page: 414

View: 3475

This volume describes how mathematical probability theory can dispense with the inconveniences of measure theory and how its applications, especially in finance, can be liberated from the myth of inherent randomness in nature. In doing so, it provides a unique and revolutionary combination of probability and finance theories.

Quantitative Methods in Finance

Author: Terry J. Watsham,Keith Parramore

Publisher: Cengage Learning EMEA

ISBN: 9781861523679

Category: Business & Economics

Page: 395

View: 5890

This text explains in an intuitive yet rigorous way the mathematical and statistical applications relevant to modern financial instruments and risk management techniques. It progresses at a pace that is comfortable for those with less mathematical expertise yet reaches a level of analysis that will reward even the most experienced. The strong applied emphasis makes this book ideal for anyone who is seriously interested in mastering the quantitative techniques underpinning modern financial decision making.

Real Options and Investment Under Uncertainty

Classical Readings and Recent Contributions

Author: Eduardo S. Schwartz,Lenos Trigeorgis

Publisher: MIT Press

ISBN: 9780262693189

Category: Business & Economics

Page: 871

View: 5131

Topics covered include the reasons for the under-investment problem and conceptual frameworks for viewing productive investment opportunities as real options; useful valuation building blocks; the quantifying of various types of real options separately and in combination; and strategic aspects of investment under uncertainty.

Encyclopedia of Alternative Investments

Author: Greg N. Gregoriou

Publisher: CRC Press

ISBN: 9781420064896

Category: Business & Economics

Page: 592

View: 1214

A pioneering reference essential in any financial library, the Encyclopedia of Alternative Investments is the most authoritative source on alternative investments for students, researchers, and practitioners in this area. Containing 545 entries, the encyclopedia focuses on hedge funds, managed futures, commodities, and venture capital. It features contributions from well-known, respected academics and professionals from around the world. More than a glossary, the book includes academic references for money managers and investors who want to understand the jargon and delve into the definitions. About the Editor Greg N. Gregoriou, Ph.D., is Professor of Finance in the School of Business and Economics at the State University of New York, Plattsburgh, USA. A prolific author, Dr. Gregoriou is hedge fund editor of the Journal of Derivatives and Hedge Funds as well as an editorial board member of the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. His research primarily focuses on hedge funds and managed futures.

Financial Instruments

Reporting and Accounting (October 2005) : a User's Guide Through the Official Text of IAS 32, IAS 39 and IFRS 7

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Accounting

Page: 540

View: 6218


Event Processing for Business

Organizing the Real-Time Enterprise

Author: David C. Luckham

Publisher: John Wiley & Sons

ISBN: 1118171853

Category: Business & Economics

Page: 288

View: 6095

Find out how Events Processing (EP) works and how it can workfor you Business Event Processing: An Introduction and StrategyGuide thoroughly describes what EP is, how to use it, and howit relates to other popular information technology architecturessuch as Service Oriented Architecture. Explains how sense and response architectures are being appliedwith tremendous results to businesses throughout the world andshows businesses how they can get started implementing EP Shows how to choose business event processing technology tosuit your specific business needs and how to keep costs of adoptingit down Provides practical guidance on how EP is best integrated intoan overall IT strategy and how its architectural styles differ frommore conventional approaches This book reveals how to make the most advantageous use of eventprocessing technology to develop real time actionable managementinformation from the events flowing through your company's networksor resulting from your business activities. It explains to managersand executives what it means for a business enterprise to beevent-driven, what business event processing technology is, and howto use it.

C++ Alles in einem Band für Dummies

Author: John Paul Mueller,Jeff Cogswell

Publisher: John Wiley & Sons

ISBN: 3527692592

Category: Computers

Page: 828

View: 8663

Dieses Buch ist für alle, die tief in die C++-Programmierung einsteigen möchten. Dennoch werden keine Programmierkenntnisse vorausgesetzt. John Paul Mueller und Jeff Cogswell erklären Ihnen zunächst, wie Sie C++ installieren. Sie erfahren, was Klassen und Objekte sind, was Sie mit Entwurfsmustern anfangen und wie Sie Ihre Programme debuggen. Aus Anfängern werden Entwickler mit Erfahrung und dann fortgeschrittene Programmierer. Diese finden in diesem Buch Informationen zu dynamischen Arrays, Lambda-Ausdrücken, Streams, UML, der Standardbibliothek, zu Boost und vielem mehr. Alle Codebeispiele des Buchs stehen zum Download zur Verfügung.