Jul
25

In finance, there are areas where formulas tend to get involved. Sometimes it may be easier to follow an exact computer routine. I have made some

**C++ subroutines that implements common algoritms in finance**. Typical examples are option/derivatives pricing, term structure calculations, mean variance analysis. These routines are presented together with a good deal of explanations and examples of use, but it is by no means a complete "book" with all the answers and explanations. I'm hoping to turn it into a book, but even in its incomplete state is should provide a good deal of useful algorithms for people working within the field of finance.Book and Code are at http://finance-old.bi.no/~bernt/gcc_prog/index.html

Jul
25

a list of various derivatives related Matlab files grouped into categories. We have attempted to provide the simple models, as well as those which rely on simulation techniques or advanced modeling, more at http://www.global-derivatives.com/index.php?option=com_content&task=view&id=184

Jul
25

Procedures and necessary declaration files to calculate fitted option prices using Fourier Inversion methods as in Bates (RFS 1996). This allows for a variety of possible risk neutral diffusions which can accommodate stochastic volatility, jumps, as well as correlation between the volatility process and underlying asset.

more at http://www.cameronrookley.com/gtoml/archive.html

more at http://www.cameronrookley.com/gtoml/archive.html

Jul
25

Fast Greeks by Simulation in Forward Libor Models by Prof. Glasserman, paper and code can be downloaded at:

http://www.gsb.columbia.edu/faculty/pglasserman/Other/grklibor.pdf

http://www.gsb.columbia.edu/faculty/pglasserman/Other/greeks_code.zip

http://www.gsb.columbia.edu/faculty/pglasserman/Other/grklibor.pdf

http://www.gsb.columbia.edu/faculty/pglasserman/Other/greeks_code.zip

Jul
25

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer.

a copy of the c++ code is available to download at http://www.markjoshi.com/design/

a copy of the c++ code is available to download at http://www.markjoshi.com/design/