C++ Design Patterns and Derivatives Pricing

Mark S. Joshi, "C++ Design Patterns and Derivatives Pricing"
Cambridge University Press | ISBN-10: 0521832357 | September 6, 2004 | 214 pages | PDF | ~1MB

Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis.

Download HERE

Read More...

Optimal Portfolio Modeling, CD-ROM includes Models Using Excel and R: Models to Maximize Returns and Control Risk in Excel and R

Philip McDonnell, "Optimal Portfolio Modeling, CD-ROM includes Models Using Excel and R: Models to Maximize Returns and Control Risk in Excel and R"
Wiley | ISBN-10: 0470117664 | February 8, 2008 | 297 pages | PDF | 17.5MB

Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.

Download HERE
OR
Download HERE

Read More...