Modeling Derivatives in C (Wiley Finance)

From Book News, Inc.
Bridging the gap between theory and practice in the quantitative finance field, this book provides the source code of several models used for pricing equity and fixed income derivatives, and shows how to adapt derivatives models written in C++ for the professional pricing libraries of research and trading desks. London, who analyzes corporate loan portfolios for a Chicago bank, examines Monte Carlo simulation, the binomial tree model, finite-difference methods, stochastic volatility models, the Hull-White model, and the Heath-Jarrow-Morton model. The CD-ROM contains the QuantPro Windows application, a quantitative pricing engine library, Excel spreadsheets, and code libraries.Copyright © 2004 Book News, Inc., Portland, OR


Book Description
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.


About the Author
Justin London is the founder and visionary of GlobalMaxTrading.com (GMT), The World’s Online Financial Supermarket®, a global online trading and financial technology company, as well as GlobalMaxAuctions.com, The World’s Online Trading Exchange ®, a global B2C and B2B auction and trading company. He has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Management Group of a large bank in Chicago, Illinois. He has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. London has written code and algorithms in C++ to price and hedge various equity and fixed-income derivatives with a focus on building interest rate models. A graduate of the University of Michigan, London has five degrees, including a BA in economics and mathematics, an MA in applied economics, and an MS in financial engineering, computer science, and mathematics, respectively.


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This is the first book to provide the source code for most models used for pricing equity and fixed-income derivatives. Filled with practical advice and helpful tools, Modeling Derivatives in C++ bridges the gap between theory and practice by providing both the theory and mathematical derivations behind the models as well as the actual working code implementations of these models.


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