C# for Financial Markets

Daniel J. Duffy 지음

Wiley 2013년 01월 14일 출간

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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 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 isboth 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.

목차

List of Figures xxiList of Tables xxvIntroduction 10.1 What Is This Book? 10.2 Special Features in This Book 10.3 Who Is This Book for and What Do You Learn? 20.4 Structure of This Book 20.5 C# Source Code 31 Global Overview of the Book 51.1 Introduction and Objectives 51.2 Comparing C# and C++ 51.3 Using This Book 62 C# Fundamentals 92.1 Introduction and Objectives 92.2 Background to C# 92.3 Value Types, Reference Types and Memory Management 102.4 Built-in Data Types in C# 102.5 Character and String Types 122.6 Operators 132.7 Console Input and Output 142.8 User-defined Structs 152.9 Mini Application: Option Pricing 162.10 Summary and Conclusions 212.11 Exercises and Projects 223 Classes in C# 253.1 Introduction and Objectives 253.2 The Structure of a Class: Methods and Data 253.3 The Keyword ‘this&' 283.4 Properties 283.5 Class Variables and Class Methods 303.6 Creating and Using Objects in C# 333.7 Example: European Option Price and Sensitivities 333.8 Enumeration Types 403.9 Extension Methods 423.10 An Introduction to Inheritance in C# 443.11 Example: Two-factor Payoff Hierarchies and Interfaces 463.12 Exception Handling 503.13 Summary and Conclusions 503.14 Exercises and Projects 514 Classes and C# Advanced Features 534.1 Introduction and Objectives 534.2 Interfaces 534.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing 544.4 Interfaces in .NET and Some Advanced Features 614.5 Combining Interfaces, Inheritance and Composition 674.6 Introduction to Delegates and Lambda Functions 724.7 Lambda Functions and Anonymous Methods 764.8 Other Features in C# 774.9 Advanc

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저자(글) Daniel J. Duffy

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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 obtainedthe 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.