Advanced Quantitative Finance With C
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Advanced Quantitative Finance With C
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Author : Alonso Peña
language : en
Publisher:
Release Date : 2014
Advanced Quantitative Finance With C written by Alonso Peña and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with C++ (Computer program language) categories.
"The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice. If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should be familiar with the basic programming concepts and C++ programming language. You should also be acquainted with calculus of undergraduate level."
Advanced Quantitative Finance With C
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Author : Alonso Peña
language : en
Publisher: CreateSpace
Release Date : 2015-02-13
Advanced Quantitative Finance With C written by Alonso Peña and has been published by CreateSpace this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-13 with categories.
Create and implement mathematical models in C++ using quantitative finance Overview Describes the key mathematical models used for price equity, currency, interest rates, and credit derivatives The complex models are explained step-by-step along with a flow chart of every implementation Illustrates each asset class with fully solved C++ examples, both basic and advanced, that support and complement the text In Detail This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives. The models used include the Black-Scholes and Garman-Kohlhagen models, the LIBOR market model, structural and intensity credit models. The numerical methods described are Monte Carlo simulation (for single and multiple assets), Binomial Trees, and Finite Difference Methods. You will find implementation of concrete problems including European Call, Equity Basket, Currency European Call, FX Barrier Option, Interest Rate Swap, Bankruptcy, and Credit Default Swap in C++. What you will learn from this book Solve complex pricing problems in financial derivatives using a structured approach with the Bento Box template Explore some key numerical methods including binomial trees, finite differences, and Monte Carlo simulation Develop your understanding of equity, forex, interest rate, and credit derivatives through concrete examples Implement simple and complex derivative instruments in C++ Discover the most important mathematical models used in quantitative finance today to price derivative instruments Effectively Incorporate object oriented programming (OOP) principles into the code Approach The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice.
Quantitative Finance
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Author : Erik Schlogl
language : en
Publisher: CRC Press
Release Date : 2018-09-03
Quantitative Finance written by Erik Schlogl and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-03 with Mathematics categories.
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.
C For Financial Mathematics
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Author : John Armstrong
language : en
Publisher: CRC Press
Release Date : 2017-01-06
C For Financial Mathematics written by John Armstrong and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-06 with Business & Economics categories.
If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.
Introduction To C For Financial Engineers
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Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-24
Introduction To C For Financial Engineers written by Daniel J. Duffy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Business & Economics categories.
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)
Numerical Methods In Finance With C
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Author : Maciej J. Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-08-02
Numerical Methods In Finance With C written by Maciej J. Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-02 with Business & Economics categories.
This book provides aspiring quant developers with the numerical techniques and programming skills needed in quantitative finance. No programming background required.
Numerical Methods In Finance With C
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Author : Maciej J. Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-08-02
Numerical Methods In Finance With C written by Maciej J. Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-02 with Business & Economics categories.
Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
Quantitative Finance
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Author : Maria C. Mariani
language : en
Publisher: John Wiley & Sons
Release Date : 2019-11-06
Quantitative Finance written by Maria C. Mariani and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-06 with Business & Economics categories.
Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.
Advanced Mathematical Methods For Finance
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Author : Julia Di Nunno
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-29
Advanced Mathematical Methods For Finance written by Julia Di Nunno and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-29 with Mathematics categories.
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Modern Computational Finance
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Author : Antoine Savine
language : en
Publisher: John Wiley & Sons
Release Date : 2018-11-20
Modern Computational Finance written by Antoine Savine and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-20 with Mathematics categories.
Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.