Book description
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.
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.
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.
