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: 9446

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: 5294

“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.

Computational Finance Using C and C#

Author: George Levy

Publisher: Academic Press

ISBN: 9780080878072

Category: Business & Economics

Page: 384

View: 5393

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.

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: 4294

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.

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: 9264

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

Introduction to Applied Optics for Engineers

Author: F. Paul Carlson

Publisher: Elsevier

ISBN: 0323157327

Category: Technology & Engineering

Page: 292

View: 8805

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.

Algorithmen - Eine Einführung

Author: Thomas H. Cormen,Charles E. Leiserson,Ronald Rivest,Clifford Stein

Publisher: Walter de Gruyter GmbH & Co KG

ISBN: 3110522012

Category: Computers

Page: 1339

View: 7116

Der "Cormen" bietet eine umfassende und vielseitige Einführung in das moderne Studium von Algorithmen. Es stellt viele Algorithmen Schritt für Schritt vor, behandelt sie detailliert und macht deren Entwurf und deren Analyse allen Leserschichten zugänglich. Sorgfältige Erklärungen zur notwendigen Mathematik helfen, die Analyse der Algorithmen zu verstehen. Den Autoren ist es dabei geglückt, Erklärungen elementar zu halten, ohne auf Tiefe oder mathematische Exaktheit zu verzichten. Jedes der weitgehend eigenständig gestalteten Kapitel stellt einen Algorithmus, eine Entwurfstechnik, ein Anwendungsgebiet oder ein verwandtes Thema vor. Algorithmen werden beschrieben und in Pseudocode entworfen, der für jeden lesbar sein sollte, der schon selbst ein wenig programmiert hat. Zahlreiche Abbildungen verdeutlichen, wie die Algorithmen arbeiten. Ebenfalls angesprochen werden Belange der Implementierung und andere technische Fragen, wobei, da Effizienz als Entwurfskriterium betont wird, die Ausführungen eine sorgfältige Analyse der Laufzeiten der Programme mit ein schließen. Über 1000 Übungen und Problemstellungen und ein umfangreiches Quellen- und Literaturverzeichnis komplettieren das Lehrbuch, dass durch das ganze Studium, aber auch noch danach als mathematisches Nachschlagewerk oder als technisches Handbuch nützlich ist. Für die dritte Auflage wurde das gesamte Buch aktualisiert. Die Änderungen sind vielfältig und umfassen insbesondere neue Kapitel, überarbeiteten Pseudocode, didaktische Verbesserungen und einen lebhafteren Schreibstil. So wurden etwa - neue Kapitel zu van-Emde-Boas-Bäume und mehrfädigen (engl.: multithreaded) Algorithmen aufgenommen, - das Kapitel zu Rekursionsgleichungen überarbeitet, sodass es nunmehr die Teile-und-Beherrsche-Methode besser abdeckt, - die Betrachtungen zu dynamischer Programmierung und Greedy-Algorithmen überarbeitet; Memoisation und der Begriff des Teilproblem-Graphen als eine Möglichkeit, die Laufzeit eines auf dynamischer Programmierung beruhender Algorithmus zu verstehen, werden eingeführt. - 100 neue Übungsaufgaben und 28 neue Problemstellungen ergänzt. Umfangreiches Dozentenmaterial (auf englisch) ist über die Website des US-Verlags verfügbar.

Introduction to Oil Company Financial Analysis

Author: David C. Johnston,Daniel Johnston

Publisher: PennWell Books

ISBN: 9781593700447

Category: Business & Economics

Page: 447

View: 6793

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.

C++ for Engineers and Scientists

Author: Gary J. Bronson

Publisher: Course Technology Ptr

ISBN: 9780534993801

Category: Technology & Engineering

Page: 826

View: 2476

Bronson's robust second edition makes C++ accessible to first level engineering students, as C++ continues to gain a stronghold in the engineering and scientific communities.

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: 7565

"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: 5247

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: 4974

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.

Introduction to Stochastic Calculus with Applications

Author: Fima C Klebaner

Publisher: World Scientific Publishing Company

ISBN: 1911298674

Category: Mathematics

Page: 452

View: 9618

This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition. This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study. In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises. Contents:Preliminaries From CalculusConcepts of Probability TheoryBasic Stochastic ProcessesBrownian Motion CalculusStochastic Differential EquationsDiffusion ProcessesMartingalesCalculus for SemimartingalesPure Jump ProcessesChange of Probability MeasureApplications in Finance: Stock and FX OptionsApplications in Finance: Bonds, Rates and OptionsApplications in BiologyApplications in Engineering and Physics Readership: Academics, mathematicians, advanced undergraduates, graduates, practitioners in finance, risk managers and electrical engineers.

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: 790

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: 2947

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: 1906

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.

Financial Engineering and Computation

Principles, Mathematics, Algorithms

Author: Yuh-Dauh Lyuu

Publisher: Cambridge University Press

ISBN: 9780521781718

Category: Business & Economics

Page: 627

View: 6669

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

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: 3789

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.