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C# for Financial Markets

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A practice-oriented guide to using C# to design and program pricing and trading modelsIn this step-by-step guide to software devel... Weiterlesen
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Beschreibung

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, providing all source code, alongside audio, support and discussion forums for readers to comment on the code and obtain new versions of the software.



Daniel J. Duffy has been working with numerical methods in finance, industry and engineering since 1979. He has written four books on financial models and numerical methods and C++ for computational finance and he has also developed a number of new schemes for this field. He is the founder of Datasim Education and has a PhD in Numerical Analysis from Trinity College, Dublin.

Andrea Germani was born in Lodi, Italy in 1975, where he currently lives. After graduating from the Bocconi University in Milano, he obtained the Certificate in Quantitative Finance in London under the supervision of Paul Wilmott. Since then he has been working as a trader in some of the major Italian banks, where he gained a deep knowledge of the financial markets. He also worked on valuation and pricing of equity and interest-derivatives, with a focus on the practical use of the models on the trading floor. He is active in training courses of Finance for students and practitioners.



Autorentext

Daniel J. Duffy has been working with numerical methods in finance, industry and engineering since 1979. He has written four books on financial models and numerical methods and C++ for computational finance and he has also developed a number of new schemes for this field. He is the founder of Datasim Education and has a PhD in Numerical Analysis from Trinity College, Dublin.

Andrea Germani was born in Lodi, Italy in 1975, where he currently lives. After graduating from the Bocconi University in Milano, he obtained the Certificate in Quantitative Finance in London under the supervision of Paul Wilmott. Since then he has been working as a trader in some of the major Italian banks, where he gained a deep knowledge of the financial markets. He also worked on valuation and pricing of equity and interest-derivatives, with a focus on the practical use of the models on the trading floor. He is active in training courses of Finance for students and practitioners.



Inhalt
List of Figures xxi

List of Tables xxv

Introduction 1

0.1 What Is This Book? 1

0.2 Special Features in This Book 1

0.3 Who Is This Book for and What Do You Learn? 2

0.4 Structure of This Book 2

0.5 C# Source Code 3

1 Global Overview of the Book 5

1.1 Introduction and Objectives 5

1.2 Comparing C# and C++ 5

1.3 Using This Book 6

2 C# Fundamentals 9

2.1 Introduction and Objectives 9

2.2 Background to C# 9

2.3 Value Types, Reference Types and Memory Management 10

2.4 Built-in Data Types in C# 10

2.5 Character and String Types 12

2.6 Operators 13

2.7 Console Input and Output 14

2.8 User-defined Structs 15

2.9 Mini Application: Option Pricing 16

2.10 Summary and Conclusions 21

2.11 Exercises and Projects 22

3 Classes in C# 25

3.1 Introduction and Objectives 25

3.2 The Structure of a Class: Methods and Data 25

3.3 The Keyword 'this' 28

3.4 Properties 28

3.5 Class Variables and Class Methods 30

3.6 Creating and Using Objects in C# 33

3.7 Example: European Option Price and Sensitivities 33

3.8 Enumeration Types 40

3.9 Extension Methods 42

3.10 An Introduction to Inheritance in C# 44

3.11 Example: Two-factor Payoff Hierarchies and Interfaces 46

3.12 Exception Handling 50

3.13 Summary and Conclusions 50

3.14 Exercises and Projects 51

4 Classes and C# Advanced Features 53

4.1 Introduction and Objectives 53

4.2 Interfaces 53

4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing 54

4.4 Interfaces in .NET and Some Advanced Features 61

4.5 Combining Interfaces, Inheritance and Composition 67

4.6 Introduction to Delegates and Lambda Functions 72

4.7 Lambda Functions and Anonymous Methods 76

4.8 Other Features in C# 77

4.9 Advanced .NET Delegates 80

4.10 The Standard Event Pattern in .NET and the Observer Pattern 87

4.11 Summary and Conclusions 91

4.12 Exercises and Projects 92

5 Data Structures and Collections 97

5.1 Introduction and Objectives 97

5.2 Arrays 97

5.3 Dates, Times and Time Zones 101

5.4 Enumeration and Iterators 105

5.5 Object-based Collections and Standard Collection Interfaces 107

5.6 The List Class 109

5.7 The Hashtable Class 110

5.8 The Dictionary Class 111

5.9 The HashSet Classes 112

5.10 BitArray: Dynamically Sized Boolean Lists 114

5.11 Other Data Structures 114

5.12 Strings and StringBuilder 117

5.13 Some new Features in .NET 4.0 120

5.14 Summary and Conclusions 123

5.15 Exercises and Projects 123

6 Creating User-defined Data Structures 125

6.1 Introduction and Objectives 125

6.2 Design Rationale and General Guidelines 125

6.3 Arrays and Matrices 131

6.4 Vectors and Numeric Matrices 135

6.5 Higher-dimensional Structures 139

6.6 Sets 140

6.7 Associative Arrays and Matrices 142

6.8 Standardisation: Interfaces and Constraints 145

6.9 Using Associative Arrays and Matrices to Model Lookup Tables 152

6.10 Tuples 155

6.11 Summary and Conclusions 156

6.12 Exercises and Projects 156

7 An Introduction to Bonds and Bond Pricing 159

7.1 Introduction and Objectives 159

7.2 Embedded Optionality 160

7.3 The Time Value of Money: Fundamentals 160

7.4 Measuring Yield 166

7.5 Macauley Duration and Convexity 167

7.6 Dates and Date Schedulers for Fixed Income Applications 168

7.7 Exporting Schedulers to Excel 176

7.8 Other Examples 177

7.9 Pricing Bonds: An Extended Design 178

7.10 Summary and Conclusions 181

7.11 Exercises and Projects 181

8 Data Management and Data Lifecycle 185

8.1 Introduction and Objectives 185

8.2 Data Lifecycle in Trading Applications 185

8.3 An Introduction to Streams and I/O 186

8.4 File and Directory Classes 195

8.5 Serialisation Engines in .NET 199

8.6 The Binary Serialiser 203

8.7 XML Serialisation 204

8.8 Data Lifetime Management in Financial and Trading Applications 209

8.9 Summary and Conclusions 213

8.10 Exercises and Projects 213

9 Binomial Method, Design Patterns and Excel Output 215

9.1 Introduction and Objectives 215

9.2 Design of Binomial Method 216

9.3 Design Patterns and Classes 217

9.4 Early Exercise Features 232

9.5 Computing Hedge Sensitivities 233

9.6 Multi-dimensional Binomial Method 233

9.7 Improving Performance Using Pad´e Rational Approximants 236

9.8 Summary and Conclusions 238

9.9 Projects...

Produktinformationen

Titel: C# for Financial Markets
Autor:
EAN: 9781118502839
ISBN: 978-1-118-50283-9
Digitaler Kopierschutz: Adobe-DRM
Format: E-Book (epub)
Herausgeber: Wiley
Genre: Betriebswirtschaft
Anzahl Seiten: 856
Veröffentlichung: 14.01.2013
Jahr: 2013
Untertitel: Englisch
Dateigrösse: 15.9 MB