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Informationen zum Autor 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 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 financial markets. He also worked on valuation and pricing of equity and interest-derivatives, with a focus on the practical use of models on the trading floor. His teaching experience includes finance training courses for university students and practitioners. He is the Head of Interest Rate Derivatives Trading and Treasury in a bank. Klappentext 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 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. Zusammenfassung 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 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. Inhaltsverzeichnis List of Figures xix List of Tables xxiii 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 Introd...
