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."
Quantitative Finance
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Author : Maria Cristina Mariani
language : en
Publisher: John Wiley & Sons
Release Date : 2019-11-06
Quantitative Finance written by Maria Cristina 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 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.
Advanced Quantitative Finance With C
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Author : Alonso Peña
language : en
Publisher: Packt Pub Limited
Release Date : 2014-05-18
Advanced Quantitative Finance With C written by Alonso Peña and has been published by Packt Pub Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-18 with Computers 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 Asset Pricing Theory
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Author : Chenghu Ma
language : en
Publisher: World Scientific Publishing Company
Release Date : 2011-01-03
Advanced Asset Pricing Theory written by Chenghu Ma and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-03 with Business & Economics categories.
This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
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.
Advanced Quantitative Finance
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Author : William Johnson
language : en
Publisher: HiTeX Press
Release Date : 2024-10-18
Advanced Quantitative Finance written by William Johnson and has been published by HiTeX Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-18 with Business & Economics categories.
"Advanced Quantitative Finance: Trading, Risk, and Portfolio Optimization" unfolds as an essential guide for anyone eager to delve into the sophisticated world of modern finance. This comprehensive text blends theoretical underpinnings with practical insights, offering a robust exploration of the quantitative techniques driving today's markets. Each chapter systematically demystifies complex subjects—from risk management and derivatives pricing to algorithmic trading and asset pricing models—empowering readers to grasp the nuances of financial analysis with clarity and precision. Structured for both novices and seasoned professionals, the book navigates the latest advancements in machine learning, big data analytics, and behavioral finance, presenting them as indispensable tools for the contemporary financial landscape. With a focus on actionable knowledge and strategic applications, readers will gain the proficiency needed to enhance their decision-making, optimize investment portfolios, and effectively manage risk in an ever-evolving economic environment. This book is your invitation to not only understand quantitative finance but to excel in it, unlocking new levels of insight and innovation in your financial pursuits.
Advanced Mathematical Methods For Finance
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Author :
language : en
Publisher:
Release Date : 2011
Advanced Mathematical Methods For Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business mathematics categories.
"The title of this volume 'Advanced Mathematical Methods for Finance, ' AMaMeF for short, originates from the European network of the European Science Foundation with the same name that started its activity in 2005. The goals of its program have been the development and the use of advanced mathematical tools for finance, from theory to practice. This book was born in the same spirit of the program. It presents innovations in the mathematical methods in various research areas representing the broad spectrum of AMaMeF itself. It covers the mathematical foundations of financial analysis, numerical methods, and 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 blending of topics gives a large view of the up-to-date frontiers of the mathematics for finance. This volume represents the joint work of European experts in the various fields and linked to the program AMaMeF."--Preface.
Mastering R For Quantitative Finance
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Author : Edina Berlinger
language : en
Publisher: Packt Publishing Ltd
Release Date : 2015-03-10
Mastering R For Quantitative Finance written by Edina Berlinger and has been published by Packt Publishing Ltd this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-10 with Computers categories.
This book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.