C# for Financial Markets, 1st Edition

  • Published By:
  • ISBN-10: 1118502833
  • ISBN-13: 9781118502839
  • DDC: 332.015195
  • Grade Level Range: 12th Grade +
  • 856 Pages | eBook
  • Original Copyright 2013 | Published/Released June 2014
  • This publication's content originally published in print form: 2013

  • Price:  Sign in for price



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. 

Table of Contents

Front Cover.
Title Page.
Copyright Page.
Other Frontmatter.
List of Figures.
List of Tables.
1: Global Overview of the Book.
2: C# Fundamentals.
3: Classes in C#.
4: Classes and C# Advanced Features.
5: Data Structures and Collections.
6: Creating User-Defined Data Structures.
7: An Introduction to Bonds and Bond Pricing.
8: Data Management and Data Lifecycle.
9: Binomial Method, Design Patterns and Excel Output.
10: Advanced Lattices and Finite Difference Methods.
11: Interoperability: Namespaces, Assemblies and C++/CLI.
12: Bond Pricing: Design, Implementation and Excel Interfacing.
13: Interpolation Methods in Interest Rate Applications.
14: Short Term Interest Rate (STIR) Futures and Options.
15: Single-Curve Building.
16: Multi-Curve Building.
17: Swaption, Cap and Floor.
18: Software Architectures and Patterns for Pricing Applications.
19: LINQ (Language Integrated Query) and Fixed Income Applications.
20: Introduction to C# and Excel Integration.
21: Excel Automation Add-Ins.
22: C# and Excel Integration COM Add-Ins.
23: Real-Time Data (RTD) Server.
24: Introduction to Multi-Threading in C#.
25: Advanced Multi-Threading in C#.
26: Creating Multi-Threaded and Parallel Applications for Computational Finance.
Object-Oriented Fundamentals.
Nonlinear Least-Squares Minimisation.
The Mathematical Background to the Alternating Direction Explicit (ADE) Method.
Cap, Floor and Swaption Using Excel-DNA.
Other Backmatter.