Books

Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series)

Average customer rating:

A rather pointless and useless book
The first step to learn C++ in quantitative finance
A great introduction
A very good introduction into C++ from a quant finance point of view
Review to a review (I have not read the book but...)

Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series)
Daniel J. Duffy
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Modeling Derivatives Applications in Matlab, C++, and Excel
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Financial Instrument Pricing Using C++ (The Wiley Finance Series)
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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

ASIN: 0470015381

Book Description

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 contains a CD 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)

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Customer Reviews:

A rather pointless and useless book.......2007-03-18

According to the author this text is supposed to serve as a self-contained introduction to C++ for beginners without any prior experience in C or C++. Unfortunately, the author's lack of didactic talent and even more so his negligence to introduce and explain key concepts like e.g. the "this" pointer (all the while making extensive use of it in his examples) would probably foil any attempt of using it in that way.

Initially, I thought the text might still be useful for people hoping to refresh prior knowledge. That is until I happened to come across the code excerpt on page 107 that almost made me fall off my chair. There, the author instead of employing a simple do-while loop actually constructs a loop using goto! On top of that, he fails to initialize a member variable (tol) in the constructor that he merrily goes on to use later on. At the same time he introduces and increments count variable (n) that has no practical use at all.

Another reviewer referred to the book as having the feel of a student's scratch pad. I have to disagree. This text is nothing but an utter embarrassment.

The first step to learn C++ in quantitative finance.......2007-02-23

Well, this book has listed out the essential elements for option pricing using C++. You are assumed to have a basic background of C++ programming up to OOP and simple STL. All materials covered in part I and II are well written for sharpening your knowledge in STL, inheritance, polymorphism and data structures which are useful for filling the gap between C++ language and application in computational finance. In part III, a core section of this book, it lists out the most popular techniques for pricing derivatives products such as tree method, Finite difference scheme and Monte Carlo method. This book is highly recommended for the first glance in computational finance. With the full source code in the attached CD, you can self-study easily. In addition, another Duffy's book - Financial Instrument Pricing Using C++ and Justin 's book - Modeling Derivatives in C++ are good references for intermediate level learning.

A great introduction.......2007-02-18

This book is a great introduction to C++ for people working with or studying Quantitative Finance. I strongly recommend this book. The author is taking you from novice to a good level of understanding of C++ in a few hundred pages. I especially like the introduction to STL and the chapter on Design Patterns and how to apply them. In short a very good book.

A very good introduction into C++ from a quant finance point of view.......2007-02-14

A reviewer below quotes the phrase "After completing the reading, you will earn a 'black belt' in C++ for financial engineering" like as it was a promise made by the author of the book. This phrase in fact belongs to one of the reviewers of this book and has nothing to do with the author's own opinion. In section 0.1 the author says "After having read this book, studied the code and done the exercises you will be in a position to appreciate how to use C++ for Quantitative Finance". So, the author's promise is far more modest than a 'black belt'.

After almost having read the book I see it as an introduction into object-oriented C++ in which explanations are made through examples from quant finance. The book doesn't teach you anything but C++, so don't expect a derivation of the Black-Scholes formula or explanations of how Binomial methods work. It assumes that you know this stuff. I think this book is the best for someone who already knows a little bit about derivative pricing, but has a limited programming experience. It will give you a quick introduction into C++ and the ability to start reading more advanced literature on the subject.

Review to a review (I have not read the book but...).......2007-02-14

One reviewer said "The author has passing familiarity with partial differential equations and elementary numerical solution methods and it shows. All of Duffy's book possess this "studenty" scratch pad feel, which unless committed by an authority of the field is not a good thing, especially not for students of quantitative finance."

I did read his other two books (although not this one) and I completely disagree with this reviewer. I work in quantitative finance and in my previous "life" I was working extensively with PDE solvers. Based on his previous 2 books I have found that Daniel Duffy is quite knowledgeable about both finite difference methods and C++ implementations related to quantitative finance. Just to give an example: in the previous 2 books Duffy discusses some of the weaknesses of Crank Nicolson scheme (such weaknesses are not shown in almost all other books in computational finance that describe this scheme)

My 4 stars are not for this book (since I cannot rate something I did not read), but for the author (based on the other 2 books)

What Every Engineer Should Know About Accounting and Finance (What Every Engineer Should Know)

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What Every Engineer Should Know About Accounting and Finance (What Every Engineer Should Know)
Jae K. Shim , and Norman Henteleff
Manufacturer: TF-CRC
ProductGroup: Book
Binding: Hardcover

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ASIN: 0824792718

Book Description

Presents the fundamental finance and accounting processes, methods, strategies and terminology necessary for engineers and engineering managers to interpret financial data properly - examining topics such as cost and break-even analysis, the time value of money, financial ratios and discounted cash flow techniques. The information is designed to enable engineers and project managers to prepare, appraise, evaluate and approve financial plans to accomplish specific departmental and company objectives.

Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach

Average customer rating:

State of the Art
An excellent addition to any quants library
A Book That Was Long Overdue

Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach
Alexander Lipton
Manufacturer: World Scientific Publishing Company
ProductGroup: Book
Binding: Hardcover

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ASIN: 9810246153

Book Description

This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary mathematical, economic, and trading background carefully explained. In addition to the lucid treatment of the standard material, it describes many original results.

The book can be used both as a text for students of financial engineering, and as a basic reference for risk managers, traders, and academics.

Customer Reviews:

State of the Art.......2003-01-11

I own pretty much all of the books on quantitative finance
and this one holds a cherished place on my bookshelf.
Anybody either working as a quant or with aspirations to become one should dust off some space on their bookshelf as well.
Anybody who does serious research in finance in either academia or industry already knows that it is somewhat rare for top researchers to pen books of any length. Time is at a premium and the payoff to publishing journal articles or to finishing off code is typically much greater than it is for writing books.

This is what distinguishes this book from its competitors.
The author is well known in financial circles as one of a handful of quants who is capable of meaningfully contributing new results to this fascinating field. The book contains many results which cannot be found elsewhere in the public domain.
Although the book title suggests that the results apply only to
foreign exchange, it is straightforward to adapt the results to

equities, commodities, and many other underlyings.

Wall Street is a very secretive place and it is not easy to get a glimpse of the kind of things that consume a quant's time.
I suspect that the only reason that this book was able to come to light is due to the acquisition of Banker's Trust, the author's former employer. Banker's was well known to be a fertile training ground for the best derivative minds and this book should prove to be a lasting legacy to that view.

An excellent addition to any quants library.......2002-11-10

Alexander Lipton Lifschitz has brought his extensive
experience and years of research in the most diverse areas
of applied mathematics as well as his experience
in the financial industry to bear in authoring this
very interesting book.

The range of this book is impressive.
Although the author chose to focus on currency
options, his book really is a treatise on
a wide spectrum of problems and methodologies
which any quant wishing to tackle the
sophisticated world of option pricing at a high level
must master.

The author demonstrates his mastery of
the arsenal of the classic applied mathematician,
asymptotic analysis, self-similarity, Laplace
and Fourier transform, and uses these to give an
incisive analysis of both standard topics
such as American options and more exotic topics
such as options on one currency with
barriers on the other currency, passport
options (for which he was a pioneer in developping
pricing tools) , asian options and much much more.

No, this is not as easy a read as Willmott's
books. Willmott's books were and remain
an important contribution with their
quick and intuitive explanation of a variety
of instruments. Lipton- Lifschitz's
book is more challenging and the reader will
have to pull up his sleeves on
occasions where the author, while dealing
with a case analogous to one just treated
says " the details are left to the reader".
But let's face it, if you work on Wall Street
or nearby, you'll have to tackle those details
alone at some point and Lipton-Lifschitz
gives you all you need to know to do
pull this off.

And. last but not least, let's not forget the price. At less than 50$ thisbook is a real bargain and for a first
printing, unusually free of typos or others
errors.

I highly recommend you buy this book now before the publisher
doubles the price.

A Book That Was Long Overdue.......2002-05-14

Most of the books on mathematical finance fall in one of the two domains. Some books are written for people who are new to the field and, as such, do not go deeply into the mathematical details that are crucial for implementing these methods in practice. The more advanced books are usually written by academic mathematicians and sometimes suffer from poor readability and lack of awareness of relevant problems. What many people are looking for is a detailed and readable description of how to apply the latest mathematical methods to solving the problems appearing in day-to-day work of derivatives desks. Such books are few and far between: that is why Alex Lipton's manuscript was so welcome.

As a quant in one of the Wall Street investment banks, I found this book a very valuable resource. Though written on a fairly high level, this book remains a readable and consistent exposition of latest methods of foreign exchange modeling. I particularly appreciated that the author does not skip steps in his derivations and gives out all those little practical details that are so important to people planning to use these methods in their work. The range of topics covered is fairly wide, with main emphasis on derivative pricing. I found the two chapters on path-dependent options to be particularly interesting and extensive. Some of the results included in the book came out of author's original work at Deutsche Bank. I also had an impression that some of his latest work was not included in the book, which is a pity.

Book Description

The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. The first chapters introduce some worked examples of stochastic programming and demonstrate how a stochastic model is formally built. Subsequent chapters develop the properties of stochastic programs and the basic solution techniques used to solve them. Three chapters cover approximation and sampling techniques and the final chapter presents a case study in depth. A wide range of students from operations research, industrial engineering, and related disciplines will find this a well-paced and wide-ranging introduction to this subject.

Customer Reviews:

Formalism doesn't equal good introduction........2000-08-03

Given that there are not many books in the area of stochastic programming Birge et al have written a book that will be a necessary reference for the time being. The first third of the book does provide a good introduction to the basics of SP but after that a level of formalism dominates that makes one wonder if she is reading from an arcane optimization journal. The later two thirds of the book is really nothing more than an amalgam of results pulled from the literature (journals). As such, little motivation is provided for the major results that are for the most part just juxtaposed on after another. One wonders why such a journalistic style would be used for an introductory text. After all the subject should not be presented as a springer-verlag MATH text in a field like algebraic topology where a theorem-proof format is legimate. Thus, until a better introductory text comes along that blends more of the practical engineering aspects with the theory we must be content with the current state of the art.

A must own guide to Stochastic Programming.......2000-06-03

Introduction to Stochastic Programming is a must own book for anyone working in OR, IE, MS, etc. As stochasticity becomes more and more important in the field, this book becomes increasingly valuable. "Introduction" is a bit of a stretch. It starts from ground zero of Stochastic Programming, but is very heavy on the math. If you aren't solid with your LP and probability, then a brush up is definately in order. This book is not for the faint of heart. Nevertheless, Birge and Louveaux do an OUTSTANDING job. The examples are clear, easy to follow (assuming you're not math phobic) and very relevant. They go through different formulations of stochastic programms (recourse, chance constrained, etc.). The book discusses formulation, algorithms, and applications. There are not many books out there on Stochastic Programming...and this is really the only one you need to own.

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The Engineer's Cost Handbook
Richard E. Westney
Manufacturer: CRC
ProductGroup: Book
Binding: Hardcover

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ASIN: 0824797965

Book Description

Offers coverage of each important step in engineering cost control process, from project justification to life-cycle costs. The book describes cost control systems and shows how to apply the principles of value engineering. It explains estimating methodology and the estimation of engineering, engineering equipment, and construction and labour costs; delineates productivity and cash-flow analysis; and more.

Practical Financial Optimization: Decision Making for Financial Engineers

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Practical Financial Optimization: Decision Making for Financial Engineers
Stavros A. Zenios , and Giuseppe Bertola
Manufacturer: Blackwell Publishing Limited
ProductGroup: Book
Binding: Hardcover

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Library of Financial Optimization Models

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Chaos & Nonlinear Dynamics in the Financial Markets: Theory, Evidence and Applications/Book and Disk

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A bible for the nonlinear traders

Chaos & Nonlinear Dynamics in the Financial Markets: Theory, Evidence and Applications/Book and Disk

Manufacturer: Irwin Professional Publishing
ProductGroup: Book
Binding: Hardcover

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Book Description

Chaos & Nonlinear Dynamics in the Financial Markets explores both theory and empirical results related to non-linear determinism in the dynamics of asset prices. It includes a wealth of material on the properties of chaotic processes relevant to markets, along with statistical and other tests which have been developed specifically to detect the presence of chaotic behavior. This authoritative guide covers a comprehensive range of issues associated with chaos theory. It includes sections on theoretical foundations; evidence of chaos in the stock market, commodities markets, and money markets; and a section on advanced methodological issues. You'll also find included Chaos Explorer, a complimentary software package that graphically illustrates the chaotic processes that are referenced throughout the book.

Customer Reviews:

A bible for the nonlinear traders.......2000-07-07

First of all, this book is only a collection of journal papers. However, all of the chapters provide the complete understanding of the new science - chaos theory and its underlying assumption of nonlinearity. In my opinion, this book is the bible for anyone who want to study on this area.

Pioneers of the U.S. Automobile Industry: The Financial Wizards

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Pioneers of the U.S. Automobile Industry: The Financial Wizards
Michael J. Kollins
Manufacturer: SAE International
ProductGroup: Book
Binding: Hardcover

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Book Description

Pioneers of the U.S. Automobile Industry uses four separate volumes to explore the essential components that helped build the American automobile industry - the people, the companies and the designs. This volume uses more than 450 photos to help weave the story of the risk-takers who helped shape the automotive industry from the very beginning.

Pioneers and companies covered in this edition include:

Charles and Frank Duryea Studebaker The Pratt Family and the Elcar Motor Care Company Joseph Moon Russell Gardner Louis Clarke George Pierce and Charles Clifton Packard/Joy/Macauley and the Packard Motor Car Company Edwin Thomas Ransom Olds Peerless Fred and August Duesenberg Kissel Brothers Hupp/Drake/Hastings/Young and the Hupp Motor Car Corporation Walter Flanders Chapin/Coffin/Bezner/Jackson/Hudson/McAneeny and The Hudson Motor Car Company Harry Stutz Harry Ford Graham Brothers Charles Nash

Tiger Force: A True Story of Men and War.: An article from: Engineer: The Professional Bulletin for Army Engineers
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Tiger Force: A True Story of Men and War.: An article from: Engineer: The Professional Bulletin for Army Engineers
Jeffrey L. Rosemann
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

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ASIN: B000OT7NKM
Release Date: 2007-03-20

Book Description

This digital document is an article from Engineer: The Professional Bulletin for Army Engineers, published by Thomson Gale on October 1, 2006. The length of the article is 469 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Tiger Force: A True Story of Men and War.
Author: Jeffrey L. Rosemann
Publication: Engineer: The Professional Bulletin for Army Engineers (Magazine/Journal)
Date: October 1, 2006
Publisher: Thomson Gale
Volume: 36 Page: 39(1)

Distributed by Thomson Gale

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