Options And Derivatives Programming In C 20
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Options And Derivatives Programming In C
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Author : CARLOS OLIVEIRA
language : en
Publisher: Apress
Release Date : 2016-09-30
Options And Derivatives Programming In C written by CARLOS OLIVEIRA and has been published by Apress this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-30 with Computers categories.
Learn how C++ is used in the development of solutions for options and derivatives trading in the financial industry. As an important part of the financial industry, options and derivatives trading has become increasingly sophisticated. Advanced trading techniques using financial derivatives have been used at banks, hedge funds, and pension funds. Because of stringent performance characteristics, most of these trading systems are developed using C++ as the main implementation language. Options and Derivatives Programming in C++ covers features that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and support for numerical libraries. New features introduced in the C++11 and C++14 standard are also covered: lambda functions, automatic type detection, custom literals, and improved initialization strategies for C++ objects. Readers will enjoy the how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. It includes advanced C++ concepts as well as the basic building libraries used by modern C++ developers, such as the STL and Boost, while also leveraging knowledge of object-oriented and template-based programming. Options and Derivatives Programming in C++ provides a great value for readers who are trying to use their current programming knowledge in order to become proficient in the style of programming used in large banks, hedge funds, and other investment institutions. The topics covered in the book are introduced in a logical and structured way and even novice programmers will be able to absorb the most important topics and competencies. What You Will Learn Grasp the fundamental problems in options and derivatives trading Converse intelligently about credit default swaps, Forex derivatives, and more Implement valuation models and trading strategies Build pricing algorithms around the Black-Sholes Model, and also using the Binomial and Differential Equations methods Run quantitative finance algorithms using linear algebra techniques Recognize and apply the most common design patterns used in options trading Save time by using the latest C++ features such as the STL and the Boost libraries Who This Book Is For Professional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development. This book is written with the goal of reaching readers who need a concise, algorithms-based book, providing basic information through well-targeted examples and ready to use solutions. Readers will be able to directly apply the concepts and sample code to some of the most common problems faced in the analysis of options and derivative contracts.
Options And Derivatives Programming In C 20
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Author : Carlos Oliveira
language : en
Publisher: Apress
Release Date : 2021-02-18
Options And Derivatives Programming In C 20 written by Carlos Oliveira and has been published by Apress this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-18 with Computers categories.
Master the features of C++ that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and numerical libraries. This book also covers new features introduced in C++20 and other recent standard releases: modules, concepts, spaceship operators, and smart pointers. You will explore how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. These include advanced C++ concepts as well as the basic building libraries used by modern C++ developers, such as the STL and Boost, while also leveraging knowledge of object-oriented and template-based programming. Options and Derivatives Programming in C++ provides a great value for readers who are trying to use their current programming knowledge in order to become proficient in the style of programming used in large banks, hedge funds, and other investment institutions. The topics covered in the book are introduced in a logical and structured way and even novice programmers will be able to absorb the most important topics and competencies. This book is written with the goal of reaching readers who need a concise, algorithms-based book, providing basic information through well-targeted examples and ready-to-use solutions. You will be able to directly apply the concepts and sample code to some of the most common problems faced in the analysis of options and derivative contracts. What You Will Learn Discover how C++ is used in the development of solutions for options and derivatives trading in the financial industry Grasp the fundamental problems in options and derivatives trading Converse intelligently about credit default swaps, Forex derivatives, and more Implement valuation models and trading strategies Build pricing algorithms around the Black-Sholes model, and also using the binomial and differential equations methods Run quantitative finance algorithms using linear algebra techniques Recognize and apply the most common design patterns used in options trading Who This Book Is For Professional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development.
Building Financial Derivatives Applications With C
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Author : Robert Brooks
language : en
Publisher: Bloomsbury Publishing USA
Release Date : 2000-03-30
Building Financial Derivatives Applications With C written by Robert Brooks and has been published by Bloomsbury Publishing USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-03-30 with Business & Economics categories.
Radical developments in financial management, spurred by improvements in computer technology, have created demand for people who can use modern financial techniques combined with computer skills such as C++. Dr. Brooks gives readers the ability to express derivative solutions in an attractive, user-friendly format, and the ability to develop a permanent software package containing them. His book explains in detail how to write C++ source code and at the same time explains derivative valuation problems and methods. Entry level as well as experienced financial professionals have already found that the ability to understand and write C++ code has greatly enhanced their careers. This is an important hands-on training resource for practitioners and a clearly presented textbook for graduate-level students in business and finance. Dr. Brooks combines object-oriented C++ programming with modern derivatives technology and provides numerous examples to illustrate complex derivative applications. He covers C++ within the text and the Borland C++Builder program, on which the book is based, in extensive appendices. His book combines basic C++ coding with fundamental finance problems, illustrates traditional techniques for solving more complicated problems, and develops the reader's ability to express complex mathematical solutions in the object-oriented framework of C++. It also reviews derivative solutions techniques and illustrates them with C++ code, reviews general approaches to valuing interest rate contingent claims, and focuses on practical ways to implement them. The result is a book that trains readers simultaneously in the substance of its field, financial derivatives, and the programming of solutions to problems in it.
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.
A Program For Computing Steady Inviscid Three Dimensional Supersonic Flow On Reentry Vehicles
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Author : J. M. Solomon
language : en
Publisher:
Release Date : 1977
A Program For Computing Steady Inviscid Three Dimensional Supersonic Flow On Reentry Vehicles written by J. M. Solomon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Aerodynamics, Hypersonic categories.
A comprehensive computational procedure is presented for predicting the supersonic region of the flow field on advanced reentry vehicle shapes in steady flight at pitch and yaw. The procedure utilizes explicit second order accurate finite difference methods applied to the conservation law form of the steady inviscid flow equations. Improved numerical methods are used at the body surface and the bow shock wave. Provisions for treating body geometries with discontinuous slopes are also included. Either perfect gas or real gas equilibrium thermodynamic properties can be used. The computational procedure is implemented as a FORTRAN computer code which provides a practicable representation of the inviscid flow field and the resulting aerodynamic force and moment on the vehicle. In this report (Vol. I) the analytical and numerical development of the procedure is presented and the associated computer code is described. A comparison report (Vol. II User's Manual) contains detailed instructions for operating the code and interpreting the output results. (Author).
Evolutionary Computation In Economics And Finance
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Author : Shu-Heng Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-05-27
Evolutionary Computation In Economics And Finance written by Shu-Heng Chen 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 2002-05-27 with Computers categories.
After a decade's development, evolutionary computation (EC) proves to be a powerful tool kit for economic analysis. While the demand for this equipment is increasing, there is no volume exclusively written for economists. This volume for the first time helps economists to get a quick grasp on how EC may support their research. A comprehensive coverage of the subject is given, that includes the following three areas: game theory, agent-based economic modelling and financial engineering. Twenty leading scholars from each of these areas contribute a chapter to the volume. The reader will find himself treading the path of the history of this research area, from the fledgling stage to the burgeoning era. The results on games, labour markets, pollution control, institution and productivity, financial markets, trading systems design and derivative pricing, are new and interesting for different target groups. The book also includes informations on web sites, conferences, and computer software.
Optimal Financial Decision Making Under Uncertainty
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Author : Giorgio Consigli
language : en
Publisher: Springer
Release Date : 2016-10-17
Optimal Financial Decision Making Under Uncertainty written by Giorgio Consigli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-17 with Business & Economics categories.
The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows: Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas. Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.
Financial Instrument Pricing Using C
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Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2018-09-05
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 2018-09-05 with Business & Economics categories.
An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by: Delving into a detailed account of the new C++11 standard and its applicability to computational finance. Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity. Developing multiparadigm software using the object-oriented, generic, and functional programming styles. Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns. Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models. Developing applications, from financial model to algorithmic design and code, through a coherent approach. Generating interoperability with Excel add-ins, C#, and C++/CLI. Using random number generation in C++11 and Monte Carlo simulation. Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing. HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be “C++ Book Source Code Request”. You will receive a reply with a zip file attachment.
Optimization In The Energy Industry
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Author : Josef Kallrath
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-12-25
Optimization In The Energy Industry written by Josef Kallrath 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 2008-12-25 with Mathematics categories.
This book offers a broad, in-depth overview that reflects the requirements, possibilities and limits of mathematical optimization and, especially, stochastic optimization in the energy industry.
Modeling Derivatives In C
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Author : Justin London
language : en
Publisher: John Wiley & Sons
Release Date : 2005-01-21
Modeling Derivatives In C written by Justin London 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 2005-01-21 with Business & Economics categories.
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.