Introduction to C++ for Financial Engineers

Introduction to C++ for Financial Engineers

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

Published: 2013-10-24

Total Pages: 405

ISBN-13: 1118856465

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This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)


Effective Computation in Physics

Effective Computation in Physics

Author: Anthony Scopatz

Publisher: "O'Reilly Media, Inc."

Published: 2015-06-25

Total Pages: 567

ISBN-13: 1491901586

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More physicists today are taking on the role of software developer as part of their research, but software development isnâ??t always easy or obvious, even for physicists. This practical book teaches essential software development skills to help you automate and accomplish nearly any aspect of research in a physics-based field. Written by two PhDs in nuclear engineering, this book includes practical examples drawn from a working knowledge of physics concepts. Youâ??ll learn how to use the Python programming language to perform everything from collecting and analyzing data to building software and publishing your results. In four parts, this book includes: Getting Started: Jump into Python, the command line, data containers, functions, flow control and logic, and classes and objects Getting It Done: Learn about regular expressions, analysis and visualization, NumPy, storing data in files and HDF5, important data structures in physics, computing in parallel, and deploying software Getting It Right: Build pipelines and software, learn to use local and remote version control, and debug and test your code Getting It Out There: Document your code, process and publish your findings, and collaborate efficiently; dive into software licenses, ownership, and copyright procedures


A Primer on Scientific Programming with Python

A Primer on Scientific Programming with Python

Author: Hans Petter Langtangen

Publisher: Springer

Published: 2016-07-28

Total Pages: 942

ISBN-13: 3662498871

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The book serves as a first introduction to computer programming of scientific applications, using the high-level Python language. The exposition is example and problem-oriented, where the applications are taken from mathematics, numerical calculus, statistics, physics, biology and finance. The book teaches "Matlab-style" and procedural programming as well as object-oriented programming. High school mathematics is a required background and it is advantageous to study classical and numerical one-variable calculus in parallel with reading this book. Besides learning how to program computers, the reader will also learn how to solve mathematical problems, arising in various branches of science and engineering, with the aid of numerical methods and programming. By blending programming, mathematics and scientific applications, the book lays a solid foundation for practicing computational science. From the reviews: Langtangen ... does an excellent job of introducing programming as a set of skills in problem solving. He guides the reader into thinking properly about producing program logic and data structures for modeling real-world problems using objects and functions and embracing the object-oriented paradigm. ... Summing Up: Highly recommended. F. H. Wild III, Choice, Vol. 47 (8), April 2010 Those of us who have learned scientific programming in Python ‘on the streets’ could be a little jealous of students who have the opportunity to take a course out of Langtangen’s Primer.” John D. Cook, The Mathematical Association of America, September 2011 This book goes through Python in particular, and programming in general, via tasks that scientists will likely perform. It contains valuable information for students new to scientific computing and would be the perfect bridge between an introduction to programming and an advanced course on numerical methods or computational science. Alex Small, IEEE, CiSE Vol. 14 (2), March /April 2012 “This fourth edition is a wonderful, inclusive textbook that covers pretty much everything one needs to know to go from zero to fairly sophisticated scientific programming in Python...” Joan Horvath, Computing Reviews, March 2015


A First Course in Computational Physics

A First Course in Computational Physics

Author: Paul DeVries

Publisher: Jones & Bartlett Learning

Published: 2011-01-28

Total Pages: 445

ISBN-13: 076377314X

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Computers and computation are extremely important components of physics and should be integral parts of a physicist’s education. Furthermore, computational physics is reshaping the way calculations are made in all areas of physics. Intended for the physics and engineering students who have completed the introductory physics course, A First Course in Computational Physics, Second Edition covers the different types of computational problems using MATLAB with exercises developed around problems of physical interest. Topics such as root finding, Newton-Cotes integration, and ordinary differential equations are included and presented in the context of physics problems. A few topics rarely seen at this level such as computerized tomography, are also included. Within each chapter, the student is led from relatively elementary problems and simple numerical approaches through derivations of more complex and sophisticated methods, often culminating in the solution to problems of significant difficulty. The goal is to demonstrate how numerical methods are used to solve the problems that physicists face. Read the review published in Computing in Science & Engineering magazine, March/April 2011 (Vol. 13, No. 2) ? 2011 IEEE, Published by the IEEE Computer Society


The Elements of Computing Systems

The Elements of Computing Systems

Author: Noam Nisan

Publisher:

Published: 2008

Total Pages: 343

ISBN-13: 0262640686

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This title gives students an integrated and rigorous picture of applied computer science, as it comes to play in the construction of a simple yet powerful computer system.


Python for Scientists

Python for Scientists

Author: John M. Stewart

Publisher: Cambridge University Press

Published: 2017-07-20

Total Pages: 272

ISBN-13: 1316641236

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Scientific Python is taught from scratch in this book via copious, downloadable, useful and adaptable code snippets. Everything the working scientist needs to know is covered, quickly providing researchers and research students with the skills to start using Python effectively.


Object-Oriented Analysis and Design

Object-Oriented Analysis and Design

Author: Sarnath Ramnath

Publisher: Springer Science & Business Media

Published: 2010-12-06

Total Pages: 485

ISBN-13: 1849965226

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Object-oriented analysis and design (OOAD) has over the years, become a vast field, encompassing such diverse topics as design process and principles, documentation tools, refactoring, and design and architectural patterns. For most students the learning experience is incomplete without implementation. This new textbook provides a comprehensive introduction to OOAD. The salient points of its coverage are: • A sound footing on object-oriented concepts such as classes, objects, interfaces, inheritance, polymorphism, dynamic linking, etc. • A good introduction to the stage of requirements analysis. • Use of UML to document user requirements and design. • An extensive treatment of the design process. • Coverage of implementation issues. • Appropriate use of design and architectural patterns. • Introduction to the art and craft of refactoring. • Pointers to resources that further the reader’s knowledge. All the main case-studies used for this book have been implemented by the authors using Java. The text is liberally peppered with snippets of code, which are short and fairly self-explanatory and easy to read. Familiarity with a Java-like syntax and a broad understanding of the structure of Java would be helpful in using the book to its full potential.


Feedback Systems

Feedback Systems

Author: Karl Johan Åström

Publisher: Princeton University Press

Published: 2021-02-02

Total Pages:

ISBN-13: 069121347X

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The essential introduction to the principles and applications of feedback systems—now fully revised and expanded This textbook covers the mathematics needed to model, analyze, and design feedback systems. Now more user-friendly than ever, this revised and expanded edition of Feedback Systems is a one-volume resource for students and researchers in mathematics and engineering. It has applications across a range of disciplines that utilize feedback in physical, biological, information, and economic systems. Karl Åström and Richard Murray use techniques from physics, computer science, and operations research to introduce control-oriented modeling. They begin with state space tools for analysis and design, including stability of solutions, Lyapunov functions, reachability, state feedback observability, and estimators. The matrix exponential plays a central role in the analysis of linear control systems, allowing a concise development of many of the key concepts for this class of models. Åström and Murray then develop and explain tools in the frequency domain, including transfer functions, Nyquist analysis, PID control, frequency domain design, and robustness. Features a new chapter on design principles and tools, illustrating the types of problems that can be solved using feedback Includes a new chapter on fundamental limits and new material on the Routh-Hurwitz criterion and root locus plots Provides exercises at the end of every chapter Comes with an electronic solutions manual An ideal textbook for undergraduate and graduate students Indispensable for researchers seeking a self-contained resource on control theory