Modeling Derivatives in C++
Modeling Derivatives in C++

Author: Justin London

Publisher: John Wiley & Sons

Published: 2005-01-21

Total Pages: 922

ISBN-13: 047168189X

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This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

Options and Derivatives Programming in C++
Options and Derivatives Programming in C++

Author: CARLOS OLIVEIRA

Publisher: Apress

Published: 2016-09-30

Total Pages: 273

ISBN-13: 1484218140

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Learn how C++ is used in the development of solutions for options and derivatives trading in the financial industry. As an important part of the financial industry, options and derivatives trading has become increasingly sophisticated. Advanced trading techniques using financial derivatives have been used at banks, hedge funds, and pension funds. Because of stringent performance characteristics, most of these trading systems are developed using C++ as the main implementation language. Options and Derivatives Programming in C++ covers features that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and support for numerical libraries. New features introduced in the C++11 and C++14 standard are also covered: lambda functions, automatic type detection, custom literals, and improved initialization strategies for C++ objects. Readers will enjoy the how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. It includes advanced C++ concepts as well as the basic building libraries used by modern C++ developers, such as the STL and Boost, while also leveraging knowledge of object-oriented and template-based programming. Options and Derivatives Programming in C++ provides a great value for readers who are trying to use their current programming knowledge in order to become proficient in the style of programming used in large banks, hedge funds, and other investment institutions. The topics covered in the book are introduced in a logical and structured way and even novice programmers will be able to absorb the most important topics and competencies. What You Will Learn Grasp the fundamental problems in options and derivatives trading Converse intelligently about credit default swaps, Forex derivatives, and more Implement valuation models and trading strategies Build pricing algorithms around the Black-Sholes Model, and also using the Binomial and Differential Equations methods Run quantitative finance algorithms using linear algebra techniques Recognize and apply the most common design patterns used in options trading Save time by using the latest C++ features such as the STL and the Boost libraries Who This Book Is For Professional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development. This book is written with the goal of reaching readers who need a concise, algorithms-based book, providing basic information through well-targeted examples and ready to use solutions. Readers will be able to directly apply the concepts and sample code to some of the most common problems faced in the analysis of options and derivative contracts.

Dynamic Modeling of Transport Process Systems
Dynamic Modeling of Transport Process Systems

Author: C. A. Silebi

Publisher: Elsevier

Published: 2012-12-02

Total Pages: 533

ISBN-13: 0080925820

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This book presents a methodology for the development and computer implementation of dynamic models for transport process systems. Rather than developing the general equations of transport phenomena, it develops the equations required specifically for each new example application. These equations are generally of two types: ordinary differential equations (ODEs) and partial differential equations (PDEs) for which time is an independent variable. The computer-based methodology presented is general purpose and can be applied to most applications requiring the numerical integration of initial-value ODEs/PDEs. A set of approximately two hundred applications of ODEs and PDEs developed by the authors are listed in Appendix 8.

A Factor Model Approach to Derivative Pricing
A Factor Model Approach to Derivative Pricing

Author: James A. Primbs

Publisher: CRC Press

Published: 2016-12-19

Total Pages: 294

ISBN-13: 1498763332

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Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme.

Pharmacokinetic-Pharmacodynamic Modeling and Simulation
Pharmacokinetic-Pharmacodynamic Modeling and Simulation

Author: Peter L. Bonate

Publisher: Springer Science & Business Media

Published: 2011-07-01

Total Pages: 634

ISBN-13: 1441994858

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This is a second edition to the original published by Springer in 2006. The comprehensive volume takes a textbook approach systematically developing the field by starting from linear models and then moving up to generalized linear and non-linear mixed effects models. Since the first edition was published the field has grown considerably in terms of maturity and technicality. The second edition of the book therefore considerably expands with the addition of three new chapters relating to Bayesian models, Generalized linear and nonlinear mixed effects models, and Principles of simulation. In addition, many of the other chapters have been expanded and updated.

Determination of Lateral Stability Characteristics from Free-flight Model Tests, with Experimental Results on the Effects of Wing Vertical Position and Dihedral at Transonic Speeds
Determination of Lateral Stability Characteristics from Free-flight Model Tests, with Experimental Results on the Effects of Wing Vertical Position and Dihedral at Transonic Speeds

Author: Clarence L. Gillis

Publisher:

Published: 1960

Total Pages: 48

ISBN-13:

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A test and analysis method is presented for determining airplane lateral stability characteristics, including aerodynamic derivatives, from flight tests of scale models. The method of analysis utilizes the rotating time-vector concept and also a quasi-static approach. Data are presented at transonic speeds for three swept-wing rocket-propelled models differing only in vertical position and dihedral of the wing. The method proved to be adequate for delineating the major effects of the geometric variations on the aerodynamic lateral stability derivatives. The effects of Reynolds number on the linearity of the static stability data for an unswept wing configuration are illustrated.

Flight Dynamics. Modeling Characterization and Performance
Flight Dynamics. Modeling Characterization and Performance

Author: Carlo E.D. Riboldi

Publisher: Società Editrice Esculapio

Published: 2024-07-22

Total Pages: 705

ISBN-13:

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This text offers an analytic description of the dynamic behavior of an aircraft in flight. The explanation firstly covers in detail the build up and characterization of an analytic model for aircraft in flight. The proposed derivation process allows the reader to obtain an in-depth knowledge of the principles and assumptions employed in the obtainment of the equations describing the dynamic response of an aircraft, in parallel yielding suggestions on how to easily obtain models for other flying machines. Secondly, the model representing aircraft dynamics is populated, employing as much as possible additional simple models, linking basic aerodynamic and geometrical characteristics of an aircraft to the corresponding re- presentation in terms of coefficients. Finally, the dynamic performance of a typical aircraft is analyzed, making use of the notions on the dynamic behavior and on the typical values and balance of aircraft-specific coefficients. In this latter part, following an analysis of a equilibrium conditions, static and dynamic stability qualities are analyzed. An introduction to the conditioning of free dynamics through the design of a stability augmentation system is included as well. This book aims to support engineers as well as engineering students at the graduate level, of- fering a concise yet in-depth description of the dynamic behavior of a flying aircraft, trying to keep a rigorous approach to a greater extent than what is usual in the field. This should hopefully foster the comprehension of the key features in the model derivation process, and consequently the range of validity and applicability of the corresponding formulation. This focus on analytic modeling provides the reader with a key-asset when dealing with engineering problems, for example flight simulation, model identification and flight control design. Therefore, the present books attempts to mark a first relevant step in consolidating the notions required to face more specialized topics in aeronautical engineering.

Data-Driven Model-Free Controllers
Data-Driven Model-Free Controllers

Author: Radu-Emil Precup

Publisher: CRC Press

Published: 2021-12-27

Total Pages: 408

ISBN-13: 1000519635

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This book categorizes the wide area of data-driven model-free controllers, reveals the exact benefits of such controllers, gives the in-depth theory and mathematical proofs behind them, and finally discusses their applications. Each chapter includes a section for presenting the theory and mathematical definitions of one of the above mentioned algorithms. The second section of each chapter is dedicated to the examples and applications of the corresponding control algorithms in practical engineering problems. This book proposes to avoid complex mathematical equations, being generic as it includes several types of data-driven model-free controllers, such as Iterative Feedback Tuning controllers, Model-Free Controllers (intelligent PID controllers), Model-Free Adaptive Controllers, model-free sliding mode controllers, hybrid model‐free and model‐free adaptive‐Virtual Reference Feedback Tuning controllers, hybrid model-free and model-free adaptive fuzzy controllers and cooperative model-free controllers. The book includes the topic of optimal model-free controllers, as well. The optimal tuning of model-free controllers is treated in the chapters that deal with Iterative Feedback Tuning and Virtual Reference Feedback Tuning. Moreover, the extension of some model-free control algorithms to the consensus and formation-tracking problem of multi-agent dynamic systems is provided. This book can be considered as a textbook for undergraduate and postgraduate students, as well as a professional reference for industrial and academic researchers, attracting the readers from both industry and academia.

Flight Mechanics Modeling and Analysis
Flight Mechanics Modeling and Analysis

Author: Jitendra R. Raol

Publisher: CRC Press

Published: 2023-03-31

Total Pages: 567

ISBN-13: 1000834212

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Flight Mechanics Modeling and Analysis comprehensively covers flight mechanics and flight dynamics using a systems approach. This book focuses on applied mathematics and control theory in its discussion of flight mechanics to build a strong foundation for solving design and control problems in the areas of flight simulation and flight data analysis. The second edition has been expanded to include two new chapters and coverage of aeroservoelastic topics and engineering mechanics, presenting more concepts of flight control and aircraft parameter estimation. This book is intended for senior undergraduate aerospace students taking Aircraft Mechanics, Flight Dynamics & Controls, and Flight Mechanics courses. It will also be of interest to research students and R&D project-scientists of the same disciplines. Including end-of-chapter exercises and illustrative examples with a MATLAB®-based approach, this book also includes a Solutions Manual and Figure Slides for adopting instructors. Features: • Covers flight mechanics, flight simulation, flight testing, flight control, and aeroservoelasticity. • Features artificial neural network- and fuzzy logic-based aspects in modeling and analysis of flight mechanics systems: aircraft parameter estimation and reconfiguration of control. • Focuses on a systems-based approach. • Includes two new chapters, numerical simulation examples with MATLAB®-based implementations, and end-of-chapter exercises. • Includes a Solutions Manual and Figure Slides for adopting instructors.