Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++
Author: Daniel J. Duffy
Publisher: John Wiley & Sons
Total Pages: 1168
Release: 2018-10-01
Genre: Business & Economics
ISBN: 0470971193

An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by: Delving into a detailed account of the new C++11 standard and its applicability to computational finance. Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity. Developing multiparadigm software using the object-oriented, generic, and functional programming styles. Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns. Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models. Developing applications, from financial model to algorithmic design and code, through a coherent approach. Generating interoperability with Excel add-ins, C#, and C++/CLI. Using random number generation in C++11 and Monte Carlo simulation. Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing. HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be “C++ Book Source Code Request”. You will receive a reply with a zip file attachment.

Monte Carlo Frameworks

Monte Carlo Frameworks
Author: Daniel J. Duffy
Publisher: John Wiley & Sons
Total Pages: 775
Release: 2011-08-02
Genre: Business & Economics
ISBN: 0470684062

This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.

Digesting Anomalies in Emerging European Markets

Digesting Anomalies in Emerging European Markets
Author: Adam Zaremba
Publisher:
Total Pages: 32
Release: 2019
Genre:
ISBN:

This study compares the performance of four popular factor pricing models--the capital asset-pricing model (Sharpe, 1964), the three-factor model of Fama and French (1993), the four-factor model of Carhart (1997), and the five-factor model of Fama and French (2015a)--testing their explanatory power over a broad range of cross-sectional return patterns in emerging European markets. We identify, classify, and replicate 100 anomalies documented in the financial literature. Only 20 (32) of the capitalization-weighted (equal-weighted) anomaly portfolios are significantly profitable. We show that the five-factor model best explains the returns of anomaly portfolios and verify its superiority over the other models.

Fixed Income Modelling

Fixed Income Modelling
Author: Claus Munk
Publisher: Oxford University Press
Total Pages:
Release: 2011-06-30
Genre: Business & Economics
ISBN: 0191617849

Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between those securities. The book presents and compares the classical affine models, Heath-Jarrow-Morton models, and LIBOR market models, and demonstrates how to apply those models for the pricing of various widely traded fixed income securities. It offers a balanced presentation with both formal mathematical modelling and economic intuition and understanding. The book has a number of distinctive features including a thorough and accessible introduction to stochastic processes and the stochastic calculus needed for the modern financial modelling approach used in the book, as well as a separate chapter that explains how the term structure of interest rates relates to macro-economic variables and to what extent the concrete interest rate models are founded in general economic theory. The book focuses on the most widely used models and the main fixed income securities, instead of trying to cover all the many specialized models and the countless exotic real-life products. The in-depth explanation of the main pricing principles, techniques, and models as well as their application to the most important types of securities will enable the reader to understand and apply other models and price other securities. The book includes chapters on interest rate risk management, credit risk, mortgage-backed securities, and relevant numerical techniques. Each chapter concludes with a number of exercises of varying complexity. Suitable for MSc students specializing in finance and economics, quantitatively oriented MBA students, and first- or second-year PhD students, this book will also be a useful reference for researchers and finance professionals and can be used in specialized courses on fixed income or broader courses on derivatives.

Setting Performance Standards in Europe

Setting Performance Standards in Europe
Author: Spiros Papageorgiou
Publisher: Peter Lang
Total Pages: 258
Release: 2009
Genre: Language and languages
ISBN: 9783631592571

This publication was awarded the Jacqueline Ross TOEFL Dissertation Award in 2009. Since its publication in 2001, the Common European Framework of Reference (CEFR) has been the most frequently-cited performance standard in language testing in Europe. To help test providers and users with score interpretation in relation to the CEFR levels, the Council of Europe published the 'Manual for relating language examinations to the CEFR'. Even though the linking process set out in the Manual is primarily based on judgements by trained participants, judgement-making in this context remains largely unexplored. The research presented in this book addresses this issue by employing quantitative and qualitative methods. Despite the judges' good understanding of how language ability progresses from lower to higher CEFR levels, it was found that describing test content and examinee performance was not without problems and decision-making was affected by a number of factors that were irrelevant to the judgement task. The results provide a better understanding of judgement-making during the CEFR linking process, which has important implications for examination providers and users of CEFR-aligned test scores.

EU HTA 101

EU HTA 101
Author: Thomas Ecker
Publisher: tredition
Total Pages: 261
Release: 2023-09-29
Genre: Medical
ISBN: 338403094X

The regulation on European Health Technology Assessment (EU HTA) entered into force on 11 January 2022 and will apply from 12 January 2025. It introduces joint clinical assessments and joint scientific consultations at the European level for new health technologies, including pharmaceuticals and medical devices. While market access, pricing and reimbursement will continue to be the responsibility of EU member states, EU HTA will nevertheless have an immense impact on these national market access activities. This book serves as a practical guide designed to help developers of pharmaceuticals prepare for the upcoming EU HTA process.

Common European Framework of Reference for Languages

Common European Framework of Reference for Languages
Author: Council of Europe. Council for Cultural Co-operation. Education Committee. Modern Languages Division
Publisher: Cambridge University Press
Total Pages: 284
Release: 2001-02-22
Genre: Foreign Language Study
ISBN: 9780521005319

This book contains descriptor scales which describe the linguistic skills needed by language learners to become competent speakers of another language.

EU Cartel Enforcement

EU Cartel Enforcement
Author: Andreas Scordamaglia-Tousis
Publisher: Kluwer Law International B.V.
Total Pages: 476
Release: 2013-08-01
Genre: Law
ISBN: 9041147616

There has a been a long-standing debate on the compatibility of EU competition law with fundamental rights protection, particularly as the latter is enshrined in the due process requirements of the European Convention on Human Rights (ECHR). This book, a signal contribution to that debate, assesses two questions of paramount concern: first, whether the current level of fundamental rights protection in cartel enforcement falls within the accepted ECHR standards; and second, how the often conflicting objectives of effectiveness and adequate protection of fundamental rights could optimally be achieved. Following a detailed survey of relevant EU institutional, substantive, and procedural law rules, the author offers a set of persuasive normative responses to both questions. Proceeding from an in-depth analysis of the pertinent rights and legal nature of competition proceedings under EU and ECHR law, the author goes on to examine such elements of the perceived incompatibility as the following: investigatory powers vested in competition authorities; the privilege against self-incrimination; right to privacy; “fair trial” probatory requirements; degree of use of presumptions in EU practice; Article 6 ECHR guarantees pertaining to the presumption of innocence; proving coordination of competitive behaviour; proving restriction of competition; admissibility of evidence before EU Courts and the Commission; assessment of the attribution of liability rules; EU fining rules; judicial review of cartel decisions by EU Courts; and national sanctioning rules. The author’s extraordinarily thorough presentation is rounded off with a remarkably comprehensive bibliography that lists (in addition to books and articles) newspaper articles, EU regulations and directives, soft-law guidelines and “best practices”, EU and ECtHR case law, EU Advocate General opinions, European Commission decisions, and European Ombudsman decisions. General conclusions stress the necessity of introducing further reforms to enhance the effectiveness and legitimacy of fundamental rights in the context of competition proceedings. Few books have taken such a thorough and far-reaching approach to the reconciliation of “effective public enforcement” and “fundamental rights”, or of “effective deterrence” with the principles of legality, non-retroactivity, presumption of innocence, and ne bis in idem. In the depth of its appraisal of the entire spectrum of enforcement components from a fundamental rights perspective, the book is without peers. It will be warmly welcomed by any parties interested in the intersection of competition law and human rights.

The Oxford Handbook of Economic Forecasting

The Oxford Handbook of Economic Forecasting
Author: Michael P. Clements
Publisher: Oxford University Press
Total Pages: 732
Release: 2011-06-29
Genre: Business & Economics
ISBN: 0199875510

This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.