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C++ Design Patterns and Derivatives Pricing by Mark Joshi

'This book is thought-provoking and rewarding. Even for the less experienced programmer, the presentation is readily accessible, and the coded examples can be directly used to solve real-life problems.' Journal of the American Statistics Association, Ana-Maria Matache

Publisher Cambridge University Press Publication date 2004 Format Hardback ISBN 0521832357

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++.

Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined.

Heard on the Street by Timothy Crack

Publisher Timothy Crack Publication date 2008 Format Paperback ISBN 0970055269

The book contains over 170 quantitative questions collected from actual investment banking, investment management, and options trading job interviews. The interviewers use the same questions year after year and here they are! These questions come from all types of interviews (corporate finance, sales and trading, quantitative research, etc.), but they are especially likely in quantitative capital markets job interviews.

The questions come from all levels of interviews (undergraduate, MBA, PhD), but they are especially likely if you have, or almost have, an MBA. The questions cover pure quantitative/logic, financial economics, derivatives, and statistics. Each quantitative question in the book is accompanied by a very detailed solution and by helpful advice.

The latest edition also includes about 125 non-quantitative actual interview questions.

Monte Carlo Methods in Finance by Peter Jackel

'Few expert practitioners also have the academic expertise to match Peter Jackel's in this area, let alone take the trouble to write a most accessible, comprehensive and yet self-contained text. Carol Alexander

Publisher John Wiley & Sons Ltd

Publication date 2002

Format Hardback

ISBN 9780471497417

Monte Carlo Methods in Finance adopts a practical flavour throughout, the emphasis being on financial modelling and derivatives pricing. Numerous real-world examples help the reader to foster an intuitive grasp of the mathematical and numerical techniques needed to solve particular financial problems. At the same time, the book tries to give a detailed explanation of the theoretical foundations of the various methods and algorithms presented.

Credit Derivatives Pricing Models by Philipp Schonbucher

'Philipp Schonbucher is one of the most talented researchers of his generation. He has taken the credit derivatives world by storm.' Paul Wilmott

Publisher John Wiley & Sons Ltd

Publication date 2003

Format Hardback ISBN 9780470842911

Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models.

Principles of Financial Engineering by Salih Neftci

'This is the first comprehensive hands-on introduction to financial engineering. Neftci is enjoyable to read, and finds a natural balance between theory and practice.' Darrell Duffie

Publisher Academic Press Publication date 2004 Format Hardback ISBN 0125153945

On a topic where there is already a substantial body of literature, Salih Neftci succeeds in presenting a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies.

Options, Futures, and Other Derivatives by John Hull

Publisher Prentice Hall

Publication date 2008

Format Paperback

ISBN 0136015891

For advanced undergraduate or graduate business, economics, and financial engineering courses in derivatives, options and futures, or risk management. Designed to bridge the gap between theory and practice, this successful book continues to impact the college market and is regarded as 'the bible' in trading rooms throughout the world. This edition has been completely reworked from beginning to end to improve presentation, update material, and reflect recent market developments. Though nonessential mathematical material has been either eliminated or moved to end-of-chapter appendices, the concepts that are likely to be new to many readers have been explained carefully, and are supported by numerical examples.

The Complete Guide to Option Pricing Formulas by Espen Gaarder Haug

'The truth of the matter is that if I am being so positive about this book, it's because I know for a fact that it has saved lives more than once.' Alireza Javaheri

Publisher McGraw-Hill Professional Publication date 2007 Format Hardback ISBN 0071389970

When pricing options in today's fast-action markets, experience and intuition are no longer enough. To protect your carefully planned positions, you need precise facts and tested information that has been proven time and again.

The Complete Guide to Option Pricing Formulas is the first and only authoritative reference to contain every option tool you need, all in one handy volume: Black-Scholes, two asset binomial trees, implied trinomial trees, Vasicek, exotics.

Many important option-pricing formula are accompanied by computer code to assist in their use, understanding, and implementation.

 
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