Structured Finance

The Object Oriented Approach

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Author: Umberto Cherubini,Giovanni Della Lunga

Publisher: Wiley

ISBN: 9780470026380

Category: Business & Economics

Page: 298

View: 2020

Structured Finance: The Object Orientated Approach is aimed at both the finance and IT professionals involved in the structured finance business with the intention of sharing common concepts and language within the industry. The financial community (structurers, pricers and risk managers) view structured products as collections of objects under the so-called replicating portfolio paradigm. The IT community use object oriented programming (OOP) techniques to improve the software updating and maintenance process. For them structured products are collections of objects as well. Despite use of the same object concept, it looks like communication between these different professional functions has been problematic. Recently, construction of standard data structures known as FpML has begun to lay out a common definition of objects, at least for plain vanilla derivatives, both between IT and financial people and across different market players. Along this line, this book builds upon the concept of object to provide frontier treatment of structured finance issues relevant to both communities engaged in building, pricing and hedging products and people engaged in designing and up-dating the corresponding software. Structured Finance: The Object Orientated Approach will enable you to: decompose a structured product in elementary constituent financial objects and risk factors (replicating portfolio) understand the basics of object oriented programming (OOP) applied to the design of structured cash flows objects build your own objects and to understand FpML data structures available for standard products gauge risk exposures of the objects in structured products to: risk factors, their volatilities and the correlation among them (which factor are you long/short? Are you long/short volatility? Are you long/short correlation?) update your risk management system to accommodate structured products with non linear exposures and to design objects to represent, price and hedge, counterparty risk

Implementing Models of Financial Derivatives

Object Oriented Applications with VBA

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Author: Nick Webber

Publisher: John Wiley & Sons

ISBN: 0470661844

Category: Business & Economics

Page: 692

View: 6053

Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Principles of Quantitative Development

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Author: Manoj Thulasidas

Publisher: John Wiley & Sons

ISBN: 0470971525

Category: Business & Economics

Page: 256

View: 7148

Principles of Quantitative Development is a practical guide to designing, building and deploying a trading platform. It is also a lucid and succinct exposé on the trade life cycle and the business groups involved in managing it, bringing together the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization. The book begins by looking at the need and demand for in-house trading platforms, addressing the current trends in the industry. It then looks at the trade life cycle and its participants, from beginning to end, and then the functions within the front, middle and back office, giving the reader a full understanding and appreciation of the perspectives and needs of each function. The book then moves on to platform design, addressing all the fundamentals of platform design, system architecture, programming languages and choices. Finally, the book focuses on some of the more technical aspects of platform design and looks at traditional and new languages and approaches used in modern quantitative development. The book is accompanied by a CD-ROM, featuring a fully working option pricing tool with source code and project building instructions, illustrating the design principles discussed, and enabling the reader to develop a mini-trading platform. The book is also accompanied by a website http://pqd.thulasidas.com that contains updates and companion materials.

Process-Driven SOA

Patterns for Aligning Business and IT

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Author: Carsten Hentrich,Uwe Zdun

Publisher: CRC Press

ISBN: 1439889309

Category: Computers

Page: 347

View: 825

Process-Driven SOA: Patterns for Aligning Business and IT supplies detailed guidance on how to design and build software architectures that follow the principles of business-IT alignment. It illustrates the design process using proven patterns that address complex business/technical scenarios, where integrated concepts of service-oriented architect

Books in Print

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Author: N.A

Publisher: N.A

ISBN: N.A

Category: American literature

Page: N.A

View: 7645

Books in print is the major source of information on books currently published and in print in the United States. The database provides the record of forthcoming books, books in-print, and books out-of-print.

Contemporary Archaeology in Theory

The New Pragmatism

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Author: Robert W. Preucel,Stephen A. Mrozowski

Publisher: John Wiley & Sons

ISBN: 1405158328

Category: History

Page: 637

View: 997

"Contemporary Archaeology in Theory: The New Pragmatism is a great collection of texts to teach from, but it is much more than that. Preucel and Mrozowski have put together a landmark volume that combines a diversity of exciting contributions with a common intellectual agenda and purpose. One comes away from reading The New Pragmatism with a sense of a serious, mature discipline that combines academic rigour with social engagement." Matthew Johnson, University of Southampton "Far more than a second edition, this is a fully transformed, cutting-edge, thorough, truly monumental book that captures the richness of archaeological theory today for introductory and advanced readers alike." Stephen Silliman, University of Massachusetts, Boston "The new pragmatism advanced by the editors places archaeology within its social context, importantly in ways that can serve contemporary needs in the modern world. Archaeology is no longer innocent." Peter Bellwood, Australian National University "This collection of papers works beautifully as an overview of contemporary archaeological theory. It's framing as `The New Pragmatism' is quite appropriate given the discipline's challenge to better address current social contexts and human needs." Dean Saitta, University of Denver This completely revised second edition of Contemporary Archaeology in Theory challenges the traditional boundaries between prehistoric and historical archaeologies, as well as those between time, space, things, and people. Essays by a distinguished group of archaeologists outline the emergence of a socially conscious archaeology by addressing the material mediation of contemporary social problems such as colonialism, industrialism, racialization, and globalization. Contemporary Archaeology in Theory: The New Pragmatism investigates the gradual incorporation of questions of identity, meaning, agency, and practice alongside those of system, process, and structure. This new edition is an essential reader for students and a thought-provoking assessment of the field for all archaeologists, indigenous peoples, and the concerned lay public.

Integrating E-Business Models for Government Solutions: Citizen-Centric Service Oriented Methodologies and Processes

Citizen-Centric Service Oriented Methodologies and Processes

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Author: Chhabra, Susheel

Publisher: IGI Global

ISBN: 1605662410

Category: Computers

Page: 338

View: 6208

"The objective of this book is to examine issues and promote research initiatives in the area of effectiveness in e-government by suggesting integrated e-business models for government solutions, through citizen-centric service oriented methodologies and processes"--Provided by publisher.

Forthcoming Books

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Author: Rose Arny

Publisher: N.A

ISBN: N.A

Category: American literature

Page: N.A

View: 4914