C Design Patterns And Derivatives Pricing
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C Design Patterns And Derivatives Pricing
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Author : Mark S. Joshi
language : en
Publisher: Cambridge University Press
Release Date : 2004-08-05
C Design Patterns And Derivatives Pricing written by Mark S. Joshi 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 2004-08-05 with Business & Economics categories.
Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.
Financial Instrument Pricing Using C
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Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-23
Financial Instrument Pricing Using C 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 2013-10-23 with Business & Economics categories.
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications: Using the Standard Template Library (STL) in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis (numerical linear algebra ?) Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C++ Integration with the ?Gang of Four? Design Patterns Interfacing with Excel (output and Add-Ins) Financial engineering and XML Cash flow and yield curves Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique... Let's all give a warm welcome to modern pricing tools.' -- Paul Wilmott, mathematician, author and fund manager
C Design Patterns And Derivatives Pricing
DOWNLOAD
Author : Mark S. Joshi
language : en
Publisher: Cambridge University Press
Release Date : 2004-08-05
C Design Patterns And Derivatives Pricing written by Mark S. Joshi 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 2004-08-05 with Business & Economics categories.
Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.
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)
Design Patterns For Embedded Systems In C
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Author : Bruce Powel Douglass
language : en
Publisher: Elsevier
Release Date : 2010-11-03
Design Patterns For Embedded Systems In C written by Bruce Powel Douglass and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-03 with Computers categories.
A recent survey stated that 52% of embedded projects are late by 4-5 months. This book can help get those projects in on-time with design patterns. The author carefully takes into account the special concerns found in designing and developing embedded applications specifically concurrency, communication, speed, and memory usage. Patterns are given in UML (Unified Modeling Language) with examples including ANSI C for direct and practical application to C code. A basic C knowledge is a prerequisite for the book while UML notation and terminology is included. General C programming books do not include discussion of the contraints found within embedded system design. The practical examples give the reader an understanding of the use of UML and OO (Object Oriented) designs in a resource-limited environment. Also included are two chapters on state machines. The beauty of this book is that it can help you today. . - Design Patterns within these pages are immediately applicable to your project - Addresses embedded system design concerns such as concurrency, communication, and memory usage - Examples contain ANSI C for ease of use with C programming code
C For Financial Markets
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Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-03-04
C For Financial Markets 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 2013-03-04 with Business & Economics categories.
A practice-oriented guide to using C# to design and program pricing and trading models In this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products, and more. A unique mix of modern software technology and quantitative finance, this book is both timely and practical. The approach is thorough and comprehensive and the authors use a combination of C# language features, design patterns, mathematics and finance to produce efficient and maintainable software. Designed for quant developers, traders and MSc/MFE students, each chapter has numerous exercises and the book is accompanied by a dedicated companion website, www.datasimfinancial.com/forum/viewforum.php?f=196&sid=f30022095850dee48c7db5ff62192b34, providing all source code, alongside audio, support and discussion forums for readers to comment on the code and obtain new versions of the software.
Design Patterns Explained
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Author : Alan Shalloway
language : en
Publisher: Addison-Wesley Professional
Release Date : 2002
Design Patterns Explained written by Alan Shalloway and has been published by Addison-Wesley Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Computers categories.
This book introduces the programmer to patterns: how to understand them, how to use them, and then how to implement them into their programs. This book focuses on teaching design patterns instead of giving more specialized patterns to the relatively few.
Holub On Patterns
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Author : Allen Holub
language : en
Publisher: Apress
Release Date : 2004-09-27
Holub On Patterns written by Allen Holub and has been published by Apress this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-09-27 with Computers categories.
The existing books on design patterns take a catalog approach, where they show the individual design patterns in isolation. This approach is fundamentally flawed, because you can't see how the design patterns actually function in the real world. Most programmers learn by looking at computer programs. Holub on Patterns: Learning Design Patterns by Looking at Code teaches you design patterns in exactly this way: by looking at computer programs and analyzing them in terms of the patterns that they use. Consequently, you learn how the patterns actually occur in the real world and how to apply the patterns to solve real problems. This book also looks at the broader context of object-oriented (OO) design and how patterns solve commonplace OO design problems. It covers many of the principles of OO design—principles not covered by most books on Java—and shows you how to apply these principles to make your code easier to maintain and debug.
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.
Design Patterns
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Author : Erich Gamma
language : en
Publisher: Pearson Deutschland GmbH
Release Date : 1995
Design Patterns written by Erich Gamma and has been published by Pearson Deutschland GmbH this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.
Software -- Software Engineering.