C# for Financial Markets
- 12h 47m
- Andrea Germani, Daniel J. Duffy
- John Wiley & Sons (UK)
- 2013
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.
About the Authors
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.
In this Book
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Introduction
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Global Overview of the Book
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C# Fundamentals
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Classes in C#
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Classes and C# Advanced Features
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Data Structures and Collections
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Creating User-defined Data Structures
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An Introduction to Bonds and Bond Pricing
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Data Management and Data Lifecycle
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Binomial Method, Design Patterns and Excel Output
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Advanced Lattices and Finite Difference Methods
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Interoperability—Namespaces, Assemblies and C++/CLI
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Bond Pricing—Design, Implementation and Excel Interfacing
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Interpolation Methods in Interest Rate Applications
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Short Term Interest Rate (STIR) Futures and Options
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Single-curve Building
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Multi-curve Building
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Swaption, Cap and Floor
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Software Architectures and Patterns for Pricing Applications
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LINQ (Language Integrated Query) and Fixed Income Applications
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Introduction to C# and Excel Integration
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Excel Automation Add-ins
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C# and Excel Integration COM Add-ins
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Real-time Data (RTD) Server
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Introduction to Multi-threading in C#
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Advanced Multi-threading in C#
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Creating Multi-threaded and Parallel Applications for Computational Finance
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Bibliography
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Web References
