C Design Patterns And Derivatives Pricing

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C++ Design Patterns and Derivatives Pricing

Author : Mark Suresh Joshi
Publisher : Cambridge University Press
ISBN 13 : 9780521832359
Total Pages : 220 pages
Book Rating : 4.8/5 (323 download)

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Book Synopsis C++ Design Patterns and Derivatives Pricing by : Mark Suresh Joshi

Download or read book C++ Design Patterns and Derivatives Pricing written by Mark Suresh Joshi and published by Cambridge University Press. This book was released on 2004-08-05 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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++

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1118856473
Total Pages : 437 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Financial Instrument Pricing Using C++ by : Daniel J. Duffy

Download or read book Financial Instrument Pricing Using C++ written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-23 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Author : Mark Suresh Joshi
Publisher :
ISBN 13 : 9780511396939
Total Pages : 292 pages
Book Rating : 4.3/5 (969 download)

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Book Synopsis C++ Design Patterns and Derivatives Pricing by : Mark Suresh Joshi

Download or read book C++ Design Patterns and Derivatives Pricing written by Mark Suresh Joshi and published by . This book was released on 2008 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Modern C++ Design

Author : Andrei Alexandrescu
Publisher : Addison-Wesley Professional
ISBN 13 : 9780201704310
Total Pages : 352 pages
Book Rating : 4.7/5 (43 download)

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Book Synopsis Modern C++ Design by : Andrei Alexandrescu

Download or read book Modern C++ Design written by Andrei Alexandrescu and published by Addison-Wesley Professional. This book was released on 2001 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title documents a convergence of programming techniques - generic programming, template metaprogramming, object-oriented programming and design patterns. It describes the C++ techniques used in generic programming and implements a number of industrial strength components.

Introduction to C++ for Financial Engineers

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1118856465
Total Pages : 440 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Introduction to C++ for Financial Engineers by : Daniel J. Duffy

Download or read book Introduction to C++ for Financial Engineers written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-24 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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)

Options and Derivatives Programming in C++

Author : CARLOS OLIVEIRA
Publisher : Apress
ISBN 13 : 1484218140
Total Pages : 273 pages
Book Rating : 4.4/5 (842 download)

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Book Synopsis Options and Derivatives Programming in C++ by : CARLOS OLIVEIRA

Download or read book Options and Derivatives Programming in C++ written by CARLOS OLIVEIRA and published by Apress. This book was released on 2016-09-30 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Modeling Derivatives in C++

Author : Justin London
Publisher : John Wiley & Sons
ISBN 13 : 047168189X
Total Pages : 922 pages
Book Rating : 4.4/5 (716 download)

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Book Synopsis Modeling Derivatives in C++ by : Justin London

Download or read book Modeling Derivatives in C++ written by Justin London and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 922 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Numerical Methods in Finance with C++

Author : Maciej J. Capiński
Publisher : Cambridge University Press
ISBN 13 : 0521177162
Total Pages : 177 pages
Book Rating : 4.5/5 (211 download)

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Book Synopsis Numerical Methods in Finance with C++ by : Maciej J. Capiński

Download or read book Numerical Methods in Finance with C++ written by Maciej J. Capiński and published by Cambridge University Press. This book was released on 2012-08-02 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides aspiring quant developers with the numerical techniques and programming skills needed in quantitative finance. No programming background required.

Analysis Patterns

Author : Martin Fowler
Publisher : Addison-Wesley Professional
ISBN 13 : 9780201895421
Total Pages : 398 pages
Book Rating : 4.8/5 (954 download)

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Book Synopsis Analysis Patterns by : Martin Fowler

Download or read book Analysis Patterns written by Martin Fowler and published by Addison-Wesley Professional. This book was released on 1997 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: Martin Fowler is a consultant specializing in object-oriented analysis and design. This book presents and discusses a number of object models derived from various problem domains. All patterns and models presented have been derived from the author's own consulting work and are based on real business cases.

Monte Carlo Frameworks

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 0470684062
Total Pages : 775 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Monte Carlo Frameworks by : Daniel J. Duffy

Download or read book Monte Carlo Frameworks written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2011-08-02 with total page 775 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.

Holub on Patterns

Author : Allen Holub
Publisher : Apress
ISBN 13 : 1430207256
Total Pages : 426 pages
Book Rating : 4.4/5 (32 download)

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Book Synopsis Holub on Patterns by : Allen Holub

Download or read book Holub on Patterns written by Allen Holub and published by Apress. This book was released on 2004-09-27 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: * Allen Holub is a highly regarded instructor for the University of California, Berkeley, Extension. He has taught since 1982 on various topics, including Object-Oriented Analysis and Design, Java, C++, C. Holub will use this book in his Berkeley Extension classes. * Holub is a regular presenter at the Software Development conferences and is Contributing Editor for the online magazine JavaWorld, for whom he writes the Java Toolbox. He also wrote the OO Design Process column for IBM DeveloperWorks. * This book is not time-sensitive. It is an extremely well-thought out approach to learning design patterns, with Java as the example platform, but the concepts presented are not limited to just Java programmers. This is a complement to the Addison-Wesley seminal "Design Patterns" book by the "Gang of Four".

Modeling Derivatives Applications in Matlab, C++, and Excel

Author : Justin London
Publisher : Financial Times/Prentice Hall
ISBN 13 :
Total Pages : 608 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Modeling Derivatives Applications in Matlab, C++, and Excel by : Justin London

Download or read book Modeling Derivatives Applications in Matlab, C++, and Excel written by Justin London and published by Financial Times/Prentice Hall. This book was released on 2007 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.

The Concepts and Practice of Mathematical Finance

Author : Mark S. Joshi
Publisher : Cambridge University Press
ISBN 13 : 0521514088
Total Pages : 0 pages
Book Rating : 4.5/5 (215 download)

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Book Synopsis The Concepts and Practice of Mathematical Finance by : Mark S. Joshi

Download or read book The Concepts and Practice of Mathematical Finance written by Mark S. Joshi and published by Cambridge University Press. This book was released on 2008-10-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.

Design Patterns in Modern C++

Author : Dmitri Nesteruk
Publisher : Apress
ISBN 13 : 1484236033
Total Pages : 312 pages
Book Rating : 4.4/5 (842 download)

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Book Synopsis Design Patterns in Modern C++ by : Dmitri Nesteruk

Download or read book Design Patterns in Modern C++ written by Dmitri Nesteruk and published by Apress. This book was released on 2018-04-18 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Apply modern C++17 to the implementations of classic design patterns. As well as covering traditional design patterns, this book fleshes out new patterns and approaches that will be useful to C++ developers. The author presents concepts as a fun investigation of how problems can be solved in different ways, along the way using varying degrees of technical sophistication and explaining different sorts of trade-offs. Design Patterns in Modern C++ also provides a technology demo for modern C++, showcasing how some of its latest features (e.g., coroutines) make difficult problems a lot easier to solve. The examples in this book are all suitable for putting into production, with only a few simplifications made in order to aid readability. What You Will Learn Apply design patterns to modern C++ programming Use creational patterns of builder, factories, prototype and singleton Implement structural patterns such as adapter, bridge, decorator, facade and more Work with the behavioral patterns such as chain of responsibility, command, iterator, mediator and more Apply functional design patterns such as Monad and more Who This Book Is For Those with at least some prior programming experience, especially in C++.

Agile Principles, Patterns, and Practices in C#

Author : Micah Martin
Publisher : Pearson Education
ISBN 13 : 0132797143
Total Pages : 913 pages
Book Rating : 4.1/5 (327 download)

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Book Synopsis Agile Principles, Patterns, and Practices in C# by : Micah Martin

Download or read book Agile Principles, Patterns, and Practices in C# written by Micah Martin and published by Pearson Education. This book was released on 2006-07-20 with total page 913 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the award-winning book Agile Software Development: Principles, Patterns, and Practices, Robert C. Martin helped bring Agile principles to tens of thousands of Java and C++ programmers. Now .NET programmers have a definitive guide to agile methods with this completely updated volume from Robert C. Martin and Micah Martin, Agile Principles, Patterns, and Practices in C#. This book presents a series of case studies illustrating the fundamentals of Agile development and Agile design, and moves quickly from UML models to real C# code. The introductory chapters lay out the basics of the agile movement, while the later chapters show proven techniques in action. The book includes many source code examples that are also available for download from the authors’ Web site. Readers will come away from this book understanding Agile principles, and the fourteen practices of Extreme Programming Spiking, splitting, velocity, and planning iterations and releases Test-driven development, test-first design, and acceptance testing Refactoring with unit testing Pair programming Agile design and design smells The five types of UML diagrams and how to use them effectively Object-oriented package design and design patterns How to put all of it together for a real-world project Whether you are a C# programmer or a Visual Basic or Java programmer learning C#, a software development manager, or a business analyst, Agile Principles, Patterns, and Practices in C# is the first book you should read to understand agile software and how it applies to programming in the .NET Framework.

Linear Models in Statistics

Author : Alvin C. Rencher
Publisher : John Wiley & Sons
ISBN 13 : 0470192607
Total Pages : 690 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Linear Models in Statistics by : Alvin C. Rencher

Download or read book Linear Models in Statistics written by Alvin C. Rencher and published by John Wiley & Sons. This book was released on 2008-01-07 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential introduction to the theory and application of linear models—now in a valuable new edition Since most advanced statistical tools are generalizations of the linear model, it is neces-sary to first master the linear model in order to move forward to more advanced concepts. The linear model remains the main tool of the applied statistician and is central to the training of any statistician regardless of whether the focus is applied or theoretical. This completely revised and updated new edition successfully develops the basic theory of linear models for regression, analysis of variance, analysis of covariance, and linear mixed models. Recent advances in the methodology related to linear mixed models, generalized linear models, and the Bayesian linear model are also addressed. Linear Models in Statistics, Second Edition includes full coverage of advanced topics, such as mixed and generalized linear models, Bayesian linear models, two-way models with empty cells, geometry of least squares, vector-matrix calculus, simultaneous inference, and logistic and nonlinear regression. Algebraic, geometrical, frequentist, and Bayesian approaches to both the inference of linear models and the analysis of variance are also illustrated. Through the expansion of relevant material and the inclusion of the latest technological developments in the field, this book provides readers with the theoretical foundation to correctly interpret computer software output as well as effectively use, customize, and understand linear models. This modern Second Edition features: New chapters on Bayesian linear models as well as random and mixed linear models Expanded discussion of two-way models with empty cells Additional sections on the geometry of least squares Updated coverage of simultaneous inference The book is complemented with easy-to-read proofs, real data sets, and an extensive bibliography. A thorough review of the requisite matrix algebra has been addedfor transitional purposes, and numerous theoretical and applied problems have been incorporated with selected answers provided at the end of the book. A related Web site includes additional data sets and SAS® code for all numerical examples. Linear Model in Statistics, Second Edition is a must-have book for courses in statistics, biostatistics, and mathematics at the upper-undergraduate and graduate levels. It is also an invaluable reference for researchers who need to gain a better understanding of regression and analysis of variance.

Principles of Quantitative Development

Author : Manoj Thulasidas
Publisher : John Wiley & Sons
ISBN 13 : 0470971525
Total Pages : 253 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Principles of Quantitative Development by : Manoj Thulasidas

Download or read book Principles of Quantitative Development written by Manoj Thulasidas and published by John Wiley & Sons. This book was released on 2012-03-13 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Quantitative Development is a practical guide to designing, building and deploying a trading platform. It is also a lucid and succinct exposé on the trade life cycle and the business groups involved in managing it, bringing together the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization. The book begins by looking at the need and demand for in-house trading platforms, addressing the current trends in the industry. It then looks at the trade life cycle and its participants, from beginning to end, and then the functions within the front, middle and back office, giving the reader a full understanding and appreciation of the perspectives and needs of each function. The book then moves on to platform design, addressing all the fundamentals of platform design, system architecture, programming languages and choices. Finally, the book focuses on some of the more technical aspects of platform design and looks at traditional and new languages and approaches used in modern quantitative development. The book is accompanied by a CD-ROM, featuring a fully working option pricing tool with source code and project building instructions, illustrating the design principles discussed, and enabling the reader to develop a mini-trading platform. The book is also accompanied by a website http://pqd.thulasidas.com that contains updates and companion materials.