Java Methods for Financial Engineering

Applications in Finance and Investment

By: Philip Barker

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Hardcover | 15 May 2007

At a Glance

Hardcover
580 Pages

Dimensions(cm)
24.13 x 15.88 x 3.18

Hardcover

$130.90

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This book is for practitioners who are building Java based business applications involving the use of investment & finance techniques. It covers all the necessary methods needed to create a software implementation of calculations & data manipulations most widely used in the finance & investment field. Features include: * Explanation of the fundamental numerical methods & algorithms in a form that non-mathematical specialists can use * A comprehensive set of ready-to-use software classes for investment & finance applications * Contains a wide range of numerical classes that financial software engineers can combine to provide unique software solutions. * Provides a series of packaged Java classes containing statistical, numerical & business application methods in a form that practitioners can make immediate use of. Guide to Java Methods for Finance & Investment is a practice-based book covering all the appropriate numerical and application code needed to carry out web-based investment & finance business applications.

Industry Reviews

From the reviews: "This is a book that aims to provide software professionals with an accessible source of numerical methods and/or a 'ready-to-use' code for use in business applications. Anyone working in management sciences, in modeling or software development will want to peruse this text. ! 'it is the first book to cover the topic of Java implementations for finance investment applications.' The book sets out to describe the principles of model building in financial engineering and to explain those models as designs for Java-based applications." (C.J.H. Mann, Kybernetes, Vol. 37 (1), 2008)

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You Can Find This Book In

Non-Fiction Computing & I.T.Computer Programming & Software Development Object-Oriented Programming or OOP Accounting & Finance Finance Investment & Securities Web Programming Software Engineering Algorithms & Data Structures Business Applications Mathematical & Statistical Software

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Paperback

Published: 13th October 2010

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Introduction
Numerical Accuracy & Errors
Core math's Classes
Root Finding
Interval Bisection
Newton's method
Statistical Classes
Measures of Dispersion
Application Classes
Internal Rate of Return
Deriving yield approximations- Bisection method
Deriving yield approximations
the Newton-Raphson method
Porfolio management. Porfolio Risk measurement
Interest Rate Calculations
Compounding interest
Nominal and effective interest
Present Value (PV)
Compounding cashflows
Perpetuiy and Annuity.INTERNAL RATE of RETURN
Term Structures
Rate Interchanges
Spot Rates
Deriving the Spot Curve
Bonds
Bonds
Fixed Interest
Bond Prices
Static Spread
Credit Spreads
Bond Volatility Measures
Price value of a basis point
Bond Pricing Characteristics
Duration
Macaulay Duration
Effective Duration
Futures
Forward & Futures Pricing
Forward Price
Pricing On Different Markets
Stock Index
Currencies
Commodity Futures
Options
Option Types
Option Specifications
Pricing Specification
Dividends and Stock Splits
Option Quotes
Margin accounts
Arbitrage In Option Prices
Main components of pricing
Limits for pricing
Early Exercise Of American Options
Option Convexity
Put Call Parity
Strategies
Hedge with a protected put
Reverse protected put hedge
Hedge with a covered call
Reverse covered call hedge
Profit Diagrams
Modelling Stock Prices
The Stochastic Process
Random Walks
Brownian Motion
Wiener Process
IIto Differential
Lognormal Modelling Of Stock Prices
Handling Empirical data
Simulation with Monte Carlo
The Lognormal Property
Binomial Model
Stock Price
Cox Ross Rubinstein (CRR) Model
Binomial Tree
Trees For American & European Pricing
Analytical Option Pricing Methods
Black-Scholes-Merton
PRICING with BLACK-SCHOLES
Pricing without dividends
Effects of Dividends
Options Paying a Yield
Stock Index Options
Options on Futures
Currency Options
Analytical Approximations For American Options
Roll Geske Whaley (RGW) Approximation
Bjerksund and Stensland (B&S) Approximation
Quadratic Approximation (Barone-Adesi Whaley derivation)
Sensitivity Measures (The 'greeks')
The Black-Scholes Pde
Delta Sensitivity
Gamma Sensitivity
Theta Sensitivity
Vega Sensitivity
Rho Sensitivity
Option Extensions
Elasticity
Cost of Carry
Interest Rate Derivatives
Market Price Of Risk
Martingales
Interest Rate Caps & Floors
Swap Options
Adjusting rates for Convexity
Zero coupon Bond as the asset
Valuation of Bond Options
Short Rate Modelling
Rendleman and Bartter
The Vasicek Model
Cox Ingersoll Ross (C.I.R) model
Arbitrage Free Models
The Ho and Lee Model
Hull and White model
Conditional Options
Executive Stock Options
Forward Start Option
Indexed stock options
Time Switch Option
Chooser Option
Simple Chooser
Complex Chooser Options
Options On Options
Call on Call
Put on Call
Extendible Options
Extendible Call
Extendible Put
Writer Extendible
Rainbow Options
Two Asset Correlated
Exchange Assets Option
American exchange option
Sequential Exchange Options
Complex Conditional Options
Look Back Options
Fixed Strike Look back call
Fixed Strike Lookback Put
Floating Strike Look Back Options
Floating Strike Lookback Put
Floating Strike Lookback Call
Partial Time Fixed Strike Look Back
Partial Time Fixed Strike Call
Partial Time Fixed Strike Put
Partial Time Floating Strike Look Back
Partial Time Floating Strike Call
Partial Time Floating Strike Put
Min Or Max Of Two Risky Assets
Minimum of Two Risky Assets
Maximum of Two Risky Assets
Spread Option Approximation
Analytical Spread Approximation
Extreme Spreads
Extreme Spread
Reverse Extreme Spread
Value Or Nothing Options
Cash-or-Nothing Option
Asset-or-Nothing Option
Single Barrier Type Options
In Barrier Valuation
Valuation with a Rebate
Down and In Call valuation
Up and In Call valuation
Down and In Put valuation
Up and In Put valuation
Out Barrier Val
Table of Contents provided by Publisher. All Rights Reserved.

Java Methods for Financial Engineering

Applications in Finance and Investment

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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