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: 9819

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)

Practical Applications of Evolutionary Computation to Financial Engineering

Robust Techniques for Forecasting, Trading and Hedging

Author: Hitoshi Iba,Claus C. Aranha

Publisher: Springer Science & Business Media

ISBN: 3642276482

Category: Computers

Page: 248

View: 8616

“Practical Applications of Evolutionary Computation to Financial Engineering” presents the state of the art techniques in Financial Engineering using recent results in Machine Learning and Evolutionary Computation. This book bridges the gap between academics in computer science and traders and explains the basic ideas of the proposed systems and the financial problems in ways that can be understood by readers without previous knowledge on either of the fields. To cement the ideas discussed in the book, software packages are offered that implement the systems described within. The book is structured so that each chapter can be read independently from the others. Chapters 1 and 2 describe evolutionary computation. The third chapter is an introduction to financial engineering problems for readers who are unfamiliar with this area. The following chapters each deal, in turn, with a different problem in the financial engineering field describing each problem in detail and focusing on solutions based on evolutionary computation. Finally, the two appendixes describe software packages that implement the solutions discussed in this book, including installation manuals and parameter explanations.

Applied Probabilistic Calculus for Financial Engineering

An Introduction Using R

Author: Bertram K. C. Chan

Publisher: John Wiley & Sons

ISBN: 1119387612

Category: Business & Economics

Page: 536

View: 1082

Illustrates how R may be used successfully to solve problems in quantitative finance Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations, before moving on to topics related to asset allocation and portfolio optimization with R codes illustrated for various examples. This clear and concise book covers financial engineering, using R in data analysis, and univariate, bivariate, and multivariate data analysis. It examines probabilistic calculus for modeling financial engineering—walking the reader through building an effective financial model from the Geometric Brownian Motion (GBM) Model via probabilistic calculus, while also covering Ito Calculus. Classical mathematical models in financial engineering and modern portfolio theory are discussed—along with the Two Mutual Fund Theorem and The Sharpe Ratio. The book also looks at R as a calculator and using R in data analysis in financial engineering. Additionally, it covers asset allocation using R, financial risk modeling and portfolio optimization using R, global and local optimal values, locating functional maxima and minima, and portfolio optimization by performance analytics in CRAN. Covers optimization methodologies in probabilistic calculus for financial engineering Answers the question: What does a "Random Walk" Financial Theory look like? Covers the GBM Model and the Random Walk Model Examines modern theories of portfolio optimization, including The Markowitz Model of Modern Portfolio Theory (MPT), The Black-Litterman Model, and The Black-Scholes Option Pricing Model Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R is an ideal reference for professionals and students in economics, econometrics, and finance, as well as for financial investment quants and financial engineers.

Introduction to Applied Optics for Engineers

Author: F. Paul Carlson

Publisher: Elsevier

ISBN: 0323157327

Category: Technology & Engineering

Page: 292

View: 9712

Introduction to Applied Optics for Engineers introduces the reader to applied optics and presents ideas on coherent optical data processing. Topics covered include applications and approximations for radiation fields; physical realizations of phase transformers, lenses, and systems; applications of optical filtering to data processing; and partial coherence. Several examples from bioengineering-related research are provided. This book is comprised of 10 chapters and begins with an introduction to the basic equations of physical optics that are derived using the wave treatment approach, resulting in the simpler geometrical (ray) optics approximation. The differential form of Maxwell's equations is considered, along with propagation in free space and Fermat's principle. The following chapters explore applications and approximations for radiation fields, with emphasis on Fraunhofer fields, circular and multiple apertures, and phase effects in apertures; physical realizations of phase transformers, lenses, and spherical and parabolic surfaces; and system transform concepts including Fourier transform representation of fields and calculation techniques for imaging through a lens. The remaining chapters focus on interface devices, interferometry, holography, and scattering. This monograph is intended for students and engineers with a traditional background in electromagnetic wave theory.

Financial Modelling

Theory, Implementation and Practice with MATLAB Source

Author: Joerg Kienitz,Daniel Wetterau

Publisher: John Wiley & Sons

ISBN: 1118413296

Category: Business & Economics

Page: 736

View: 850

Financial modelling Theory, Implementation and Practice with Matlab Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.

Introduction to Oil Company Financial Analysis

Author: David C. Johnston,Daniel Johnston

Publisher: PennWell Books

ISBN: 9781593700447

Category: Business & Economics

Page: 447

View: 1488

This title is written by David Johnston and Daniel Johnston. There has always been a bit of magic in the stock market, especially when it comes to oil companies. When the oil industry and the stock market get together, the affair is usually dynamic and not always pleasant. Basic principles are widely understood in the financial industry, but the terminology and analytical techniques can vary greatly. This book is written for the nonfinancial shareholders, managers, and oil company employees interested in the forces that influence stock values. The bottom line in any company is expressed in the language of finance. This book explains financial concepts in a nontechnical, practical way so that nonfinancial professionals and others may understand and appreciate this aspect of the business. The value information found in this book includes: abbreviations and expanded definitions of key terms; energy conversion factors; reporting systems & statements; and stock tables explained.

Modelling Extremal Events

for Insurance and Finance

Author: Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch

Publisher: Springer Science & Business Media

ISBN: 9783540609315

Category: Business & Economics

Page: 648

View: 2281

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

Introduction to System Design Using Integrated Circuits

Author: B. S. Sonde

Publisher: New Age International

ISBN: 9788122403862

Category: Integrated circuits

Page: 328

View: 1210

Beginning With An Introduction To Integrated Electronics, The Book Describes The Basic Digital And Linear Ics In Detail Together With Some Applications And Building Blocks Of Digital Systems. Principles Of System Design Using Ics Are Then Explained And A Number Of System Design Examples Using The Latest Ics Are Worked Out. Useful Supplementary Information On Ics Is Included In The Appendices And A List Of References To Published Work Is Given At The End. The Book Covers What Is Latest In The State-Of-The-Art In Ics Including Ls T Tl, F Ttl, N-Mos, High-Speed Cmos, I2L, Ccds, Proms, Plas, Asics And Microprocessors. The Main Emphasis Here Is On Providing A Clear Insight Into The Characteristics And Limitations Of Ics Upto Lsi/Vlsi Level, Their Parameters, Circuit Features And Electronic Equipment/System Design Based On Them. Students Of The B.E./M.E./M.Sc (Physics) Courses Specializing In Electronics Or Communication Engineering Would Find This Book A Convenient Text/Reference Source For A First In-Depth Understanding Of System Design Using Ics. The Book Would Also Be Useful To R&D Engineers In Electronics/Communication Engineering.

Natural Computing in Computational Finance

Author: Anthony Brabazon,Michael O'Neill

Publisher: Springer Science & Business Media

ISBN: 3540774769

Category: Mathematics

Page: 303

View: 1928

Natural Computing in Computational Finance is a innovative volume containing fifteen chapters which illustrate cutting-edge applications of natural computing or agent-based modeling in modern computational finance. Following an introductory chapter the book is organized into three sections. The first section deals with optimization applications of natural computing demonstrating the application of a broad range of algorithms including, genetic algorithms, differential evolution, evolution strategies, quantum-inspired evolutionary algorithms and bacterial foraging algorithms to multiple financial applications including portfolio optimization, fund allocation and asset pricing. The second section explores the use of natural computing methodologies such as genetic programming, neural network hybrids and fuzzy-evolutionary hybrids for model induction in order to construct market trading, credit scoring and market prediction systems. The final section illustrates a range of agent-based applications including the modeling of payment card and financial markets. Each chapter provides an introduction to the relevant natural computing methodology as well as providing a clear description of the financial application addressed. The book was written to be accessible to a wide audience and should be of interest to practitioners, academics and students, in the fields of both natural computing and finance.

Managerial Accounting: An Introduction to Concepts, Methods and Uses

Author: Michael Maher,Clyde Stickney,Roman Weil

Publisher: Cengage Learning

ISBN: 1111571260

Category: Business & Economics

Page: 640

View: 8547

Prepare your MBA students to become successful managers, not just leading accountants, with the proven success of MANAGERIAL ACCOUNTING: AN INTRODUCTION TO CONCEPTS, METHODS AND USES, 11E. This edition effectively balances coverage of concepts, methods, and the uses of managerial accounting with a strong emphasis on management decision-making. Students focus on concepts and managerial uses of financial information, rather than simply perfecting the accounting techniques. This edition combines core managerial accounting concepts with the latest cutting-edge material that is relevant to all managers and decision makers. A continued emphasis on international issues prepares students for today’s globalized business environment. This edition also highlights the strategic effects of decisions, ethics, and new management accounting trends to prepare students for the challenges of today’s workplace. Numerous realistic examples and application problems help emphasize the skills most critical today including process improvement and integrating financial reporting issues within management decision-making. Students also learn to apply managerial accounting tools to the emerging service sector, government, and nonprofit organizations with new coverage of risk management and internal controls. Select MANAGERIAL ACCOUNTING, 11E to truly prepare your MBA students to be the successful managers they are meant to be. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.

Introduction to International and Global Studies, Second Edition

Author: Shawn C. Smallman,Kimberley Brown

Publisher: UNC Press Books

ISBN: 1469621665

Category: Political Science

Page: 408

View: 8819

This innovative introduction to international and global studies, updated and revised in a new edition, offers instructors in the social sciences and humanities a core textbook for teaching undergraduates in this rapidly growing field. Encompassing the latest scholarship in what is a markedly interdisciplinary endeavor, Shawn Smallman and Kimberley Brown introduce key concepts, themes, and issues and then examine each in lively chapters on essential topics that include the history of globalization; economic, political, and cultural globalization; security, energy, and development; health; agriculture and food; and the environment. Within these topics, the authors explore such timely and pressing subjects as commodity chains, labor (including present-day slavery), human rights, multinational corporations, and the connections among them. New to this edition: * The latest research on debates over privacy rights and surveillance since Edward Snowden's disclosures * Updates on significant political and economic developments throughout the world, including a new case study of European Union, Icelandic, and Greek responses to the 2008 fiscal crisis * The newest information about the rise of fracking, the Fukushima nuclear disaster, the decline of the Peak Oil movement, and climate change, including the latter's effects on the Arctic and Antarctica * A dedicated website with authors' blog and a teaching tab with syllabi, class activities, and well-designed, classroom-tested resources * An updated teacher's manual available online, including sample examination questions, additional resources for each chapter, and special assistance for teaching ESL students * Updated career advice for international studies majors

Applying Advanced Analytics to HR Management Decisions

Methods for Selection, Developing Incentives, and Improving Collaboration

Author: James C. Sesil

Publisher: FT Press

ISBN: 0133064646

Category: Business & Economics

Page: 224

View: 7252

Dramatically improve human capital management decisions by applying advanced analytics and "Big Data" technologies and processes! Pioneering HR technology expert James Sesil identifies widespread flaws in today's HR decision-making processes, and reveals how advanced analytics can help organizations make far more robust decisions about employee selection, performance management, strategy alignment, collaboration, and more. In this book he shows how to integrate Business Intelligence, ERP, Strategy Maps, Talent Management Suites, and advanced analytics -- and use them together to make far better decisions. You'll learn how to measure and improve the value of HCM decision-making in workforce/succession planning, talent acquisition, career development, corporate learning, and beyond. Sesil teaches key lessons from sources ranging from online dating services to Moneyball-style sports player selection processes. He shows how to systematically improve decision-making through more complete and sophisticated collaboration and new Collective Intelligence approaches. You'll learn how to use both internal and external data sources more effectively, and review a wide variety of advanced tools now available from vendors such as OrcaEyes, Vemo, Aruspex, Peoplefluent, Infor/Lawson, DecisionLens, Oracle, Ultimate, Cogniti, IBM, SAP, and Microsoft. Sesil concludes by demonstrating how to build "data driven" cultures and organizations that truly want to bring objectivity to decision-making, and will actually use these remarkable new tools. This book will be an invaluable resource for every HR executive, manager, analyst, and IT professional seeking new opportunities for competitive advantage through human capital and technological innovation.

Building Automated Trading Systems

With an Introduction to Visual C++.NET 2005

Author: Benjamin Van Vliet

Publisher: Elsevier

ISBN: 9780080476254

Category: Business & Economics

Page: 336

View: 721

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

Computational Finance Using C and C#

Author: George Levy

Publisher: Academic Press

ISBN: 9780080878072

Category: Business & Economics

Page: 384

View: 6533

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.

Codes of Finance

Engineering Derivatives in a Global Bank

Author: Vincent Antonin Lépinay

Publisher: Princeton University Press

ISBN: 1400840465

Category: Business & Economics

Page: 304

View: 8039

The financial industry's invention of complex products such as credit default swaps and other derivatives has been widely blamed for triggering the global financial crisis of 2008. In Codes of Finance, Vincent Antonin Lépinay, a former employee of one of the world’s leading investment banks, takes readers behind the scenes of the equity derivatives business at the bank before the crisis, providing a detailed firsthand account of the creation, marketing, selling, accounting, and management of these financial instruments—and of how they ultimately created havoc inside and outside the bank.

EMC for Systems and Installations

Author: Tim Williams,Keith Armstrong

Publisher: Newnes

ISBN: 9780080530833

Category: Technology & Engineering

Page: 312

View: 9397

This is a guide for the system designers and installers faced with the day-to-day issues of achieving EMC, and will be found valuable across a wide range of roles and sectors, including process control, manufacturing, medical, IT and building management. The EMC issues covered will also make this book essential reading for product manufacturers and suppliers - and highly relevant for managers as well as technical staff. The authors' approach is thoroughly practical - all areas of installation EMC are covered, with particular emphasis on cabling and earthing. Students on MSc and CPD programmes will also find in this book some valuable real-world antidotes to the academic treatises. The book is presented in two parts: the first is non-technical, and looks at the need for EMC in the context of systems and installations, with a chapter on the management aspects of EMC. The second part covers the technical aspects of EMC, looking at the various established methods which can be applied to ensure compatibility, and setting these in the context of the new responsibilities facing system builders. EMC for Systems and Installations is designed to complement Tim Williams' highly successful EMC for Product Designers. Practical guide to EMC design issues for those involved in systems design and installation Complementary title to Williams' bestselling EMC for Product Designers Unique guidance for installers on EMC topics

Financial Cryptography

First International Conference, FC '97, Anguilla, British West Indies, February 24-28, 1997. Proceedings

Author: Rafael Hirschfeld

Publisher: Springer Science & Business Media

ISBN: 9783540635949

Category: Business & Economics

Page: 407

View: 7935

This book constitutes the refereed proceedings of the Third International Workshop on Applied Parallel Computing, PARA'96, held in Lyngby, Denmark, in August 1996. The volume presents revised full versions of 45 carefully selected contributed papers together with 31 invited presentations. The papers address all current aspects of applied parallel computing relevant for industrial computations. The invited papers review the most important numerical algorithms and scientific applications on several types of parallel machines.

Objective-C for Absolute Beginners

iPhone, iPad and Mac Programming Made Easy

Author: Gary Bennett,Brad Lees,Mitchell Fisher

Publisher: Apress

ISBN: 1430228334

Category: Computers

Page: 292

View: 500

It seems as if everyone is writing applications for Apple’s iPhone and iPad, but how do they all do it? It’s best to learn Objective-C, the native language of both the iOS and Mac OS X, but where to begin? Right here, even if you’ve never programmed before! Objective-C for Absolute Beginners will teach you how to write software for your Mac, iPhone, or iPad using Objective-C, an elegant and powerful language with a rich set of developer tools. Using a hands-on approach, you’ll learn to think in programming terms, how to use Objective-C to build program logic, and how to write your own applications and apps. With over 50 collective years in software development and based on an approach pioneered at Carnegie Mellon University, the authors have developed a remarkably effective approach to learning Objective-C. Since the introduction of Apple’s iPhone, the authors have taught hundreds of absolute beginners how to develop Mac, iPhone,and iPad apps, including many that became popular apps in the iTunes App Store.

Fundamentals of Financial Management

Author: Eugene F. Brigham,Joel F. Houston

Publisher: Cengage Learning

ISBN: 1133709125

Category: Business & Economics

Page: 816

View: 9228

With the same contemporary approach and dynamic examples that made previous editions so popular, this fully revised thirteenth edition of FUNDAMENTALS OF FINANCIAL MANAGEMENT continues to provide students with a focused understanding of today's corporate finance and financial management. This market-leading text offers a unique balance of clear concepts, contemporary theory, and practical applications in order to help students understand the concepts and reasons behind corporate budgeting, financing, working capital decision making, forecasting, valuation, and Time Value of Money (TVM). The thirteenth edition has been updated to include discussions of several major events such as the BP oil spill, the European debt crisis, and the ongoing weakness in the economy and financial markets. Numerous practical examples, Quick Questions, proven end-of-chapter applications, Integrated Cases, and real-world examples demonstrate theory in action. A comprehensive support package --prepared by the text authors -- connects closely with the book to reduce preparation time and reinforce students understanding. You can also engage your students with a variety of tools including Thomson One Business School Edition, the same financial online database professionals use every day; updated Excel spreadsheets models; today's leading online homework solution, Aplia for Finance; and CengageNOW course management system. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.