Options And Derivatives Programming In C 20

Author : Carlos Oliveira
Publisher : Apress
Page : 128 pages
File Size : 43,7 Mb
Release : 2021-02-18
Category : Computers
ISBN : 1484263146

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Options and Derivatives Programming in C++20 by Carlos Oliveira Pdf

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.

Author : CARLOS OLIVEIRA
Publisher : Apress
Page : 273 pages
File Size : 42,6 Mb
Release : 2016-09-30
Category : Computers
ISBN : 9781484218143

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Options and Derivatives Programming in C++ by CARLOS OLIVEIRA Pdf

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.

Author : Carlos Oliveira
Publisher : Apress
Page : 0 pages
File Size : 53,8 Mb
Release : 2023-11-23
Category : Computers
ISBN : 1484298268

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Options and Derivatives Programming in C++23 by Carlos Oliveira Pdf

This book is a hands-on guide for programmers who want to learn how C++ is used to develop solutions for options and derivatives trading in the financial industry. It explores the main algorithms and programming techniques used in implementing systems and solutions for trading options and derivatives. This updated edition will bring forward new advances in C++ software language and libraries, with a particular focus on the new C++23 standard. The book starts by covering C++ language features that are frequently used to write financial software for options and derivatives. These features include the STL (standard template library), generic templates, functional programming, and support for numerical code. Examples include additional support for lambda functions with simplified syntax, improvements in automatic type detection for templates, custom literals, modules, constant expressions, and improved initialization strategies for C++ objects. This book also provides how-to examples that cover all the major tools and concepts used to build working solutions for quantitative finance. It discusses how to create bug-free and efficient applications, leveraging the knowledge of object-oriented and template-based programming. It has two new chapters covering backtesting option strategies and processing financial data.. It introduces the topics covered in the book in a logical and structured way, with lots of examples that will bring them to life. Options and Derivatives Programming in C++23 has been written with the goal of reaching readers who are looking for a concise, algorithms-based book that provides basic information through well-targeted examples and ready to use solutions. What You Will Learn Gain insight into the fundamental challenges of the options and derivatives market Master the features of the C++ language used in quantitative financial programming Understand quantitative finance algorithms for options and derivatives Build pricing algorithms around the Black-Scholes model, and use binomial and differential equations methods 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.

Author : CARLOS OLIVEIRA
Publisher : Apress
Page : 0 pages
File Size : 47,8 Mb
Release : 2016-09-30
Category : Computers
ISBN : 1484218132

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Options and Derivatives Programming in C++ by CARLOS OLIVEIRA Pdf

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.

Author : Carlos Oliveira
Publisher : Apress
Page : 128 pages
File Size : 50,6 Mb
Release : 2021-04-13
Category : Computers
ISBN : 1484268334

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Practical C++20 Financial Programming by Carlos Oliveira Pdf

Apply C++ to programming problems in the financial industry using this hands-on book, updated for C++20. It explains those aspects of the language that are more frequently used in writing financial software, including the Standard Template Library (STL), templates, and various numerical libraries. Practical C++20 Financial Programming also describes many of the important problems in financial engineering that are part of the day-to-day work of financial programmers in large investment banks and hedge funds. The author has extensive experience in the New York City financial industry that is now distilled into this handy guide. Focus is on providing working solutions for common programming problems. Examples are plentiful and provide value in the form of ready-to-use solutions that you can immediately apply in your day-to-day work. You’ll see examples of matrix manipulations, curve fitting, histogram generation, numerical integration, and differential equation analysis, and you’ll learn how all these techniques can be applied to some of the most common areas of financial software development. These areas include performance price forecasting, optimizing investment portfolios, and more. The book style is quick and to-the-point, delivering a refreshing view of what one needs to master in order to thrive as a C++ programmer in the financial industry. What You Will Learn Cover aspects of C++ especially relevant to financial programming Write working solutions to commonly encountered problems in finance Design efficient, numerical classes for use in finance, as well as to use those classes provided by Boost and other libraries Who This Book Is For Those who are new to programming for financial applications using C++, but should have some previous experience with C++.

Author : Shu-Heng Chen
Publisher : Springer Science & Business Media
Page : 476 pages
File Size : 45,5 Mb
Release : 2002-05-27
Category : Computers
ISBN : 3790814768

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Evolutionary Computation in Economics and Finance by Shu-Heng Chen Pdf

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.

Author : Robert Brooks
Publisher : Bloomsbury Publishing USA
Page : 232 pages
File Size : 42,7 Mb
Release : 2000-03-30
Category : Business & Economics
ISBN : 9780313095177

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Building Financial Derivatives Applications with C++ by Robert Brooks Pdf

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.

Author : Nick Webber
Publisher : John Wiley & Sons
Page : 772 pages
File Size : 44,5 Mb
Release : 2011-09-07
Category : Business & Economics
ISBN : 9780470661840

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Implementing Models of Financial Derivatives by Nick Webber Pdf

Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Author : J. M. Solomon,M. Ciment,R. E. Ferguson,J. B. Bell,A. B Wardlaw (Jr)
Publisher : Unknown
Page : 236 pages
File Size : 47,9 Mb
Release : 1977
Category : Aerodynamics, Hypersonic
ISBN : UOM:39015095246891

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A Program for Computing Steady Inviscid Three-dimensional Supersonic Flow on Reentry Vehicles by J. M. Solomon,M. Ciment,R. E. Ferguson,J. B. Bell,A. B Wardlaw (Jr) Pdf

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).

Author : Josef Kallrath,Panos M. Pardalos,Steffen Rebennack,Max Scheidt
Publisher : Springer Science & Business Media
Page : 537 pages
File Size : 42,6 Mb
Release : 2008-12-25
Category : Mathematics
ISBN : 9783540889656

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Optimization in the Energy Industry by Josef Kallrath,Panos M. Pardalos,Steffen Rebennack,Max Scheidt Pdf

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.

Author : Anonim
Publisher : Unknown
Page : 960 pages
File Size : 53,7 Mb
Release : 1989
Category : Aeronautics
ISBN : MINN:31951P00068913U

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Scientific and Technical Aerospace Reports by Anonim Pdf

Author : Søren S. Nielsen
Publisher : Springer Science & Business Media
Page : 442 pages
File Size : 40,7 Mb
Release : 2002-08-31
Category : Business & Economics
ISBN : 1402071396

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Programming Languages and Systems in Computational Economics and Finance by Søren S. Nielsen Pdf

The developments within the computationally and numerically oriented areas of Operations Research, Finance, Statistics and Economics have been significant over the past few decades. Each area has been developing its own computer systems and languages that suit its needs, but there is relatively little cross-fertilization among them yet. This volume contains a collection of invited, peer-reviewed papers that each highlights a particular system, language, model or paradigm from one of the computational disciplines, aimed at researchers and practitioners from the other fields. The 15 papers cover a wide range of relevant topics; Models and Modelling in Operations Research and Economic (Matt Saltzman; Pere Gomis-Porqueras and Alex Haro; Jerome Kruiser; Don Shobrys), novel High-level and Object-Oriented approaches to programming (Jurgen Doornik; Chris Birchenhall; Christopher Baum; Tim Hultberg), through advanced uses of Maple and MATLAB (Des Higham and Peter Kloeden; Ric Herbert, Jerzy Ombach and Jolanta Jarnicka; George Lindfield and John Penny), and applications and solution of Differential Equations in Finance (Peter Honoré and Rolf Poulsen; Jens Hugger; Sasha Cyganowski and Lars GrÃ1⁄4ne). Each article is written from a personal, explorative perspective that invites the reader to discover new approaches to solving old problems. In the longer run it is hoped that this volume will facilitate cross-fertilization among the computational fields.

Author : Antoine Savine
Publisher : John Wiley & Sons
Page : 592 pages
File Size : 52,5 Mb
Release : 2018-11-20
Category : Mathematics
ISBN : 9781119539452

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Modern Computational Finance by Antoine Savine Pdf

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.

Author : Claudio Albanese,Giuseppe Campolieti
Publisher : Academic Press
Page : 436 pages
File Size : 46,6 Mb
Release : 2006
Category : Business & Economics
ISBN : 9780120476824

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Advanced Derivatives Pricing and Risk Management by Claudio Albanese,Giuseppe Campolieti Pdf

Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.

Author : Giorgio Consigli,Daniel Kuhn,Paolo Brandimarte
Publisher : Springer
Page : 298 pages
File Size : 41,5 Mb
Release : 2016-10-17
Category : Business & Economics
ISBN : 9783319416137

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Optimal Financial Decision Making under Uncertainty by Giorgio Consigli,Daniel Kuhn,Paolo Brandimarte Pdf

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.