Java Methods for Financial Engineering

This book describes the principles of model building in financial engineering. It explains those models as designs and working implementations for Java-based applications. It is the first book to cover Java implementations for finance/investment applications.

In order to build a successful, Java-based application it is important to have a clear understanding of the principles underlying the various financial models. Those models guide the application designer in choosing the most appropriate Java data structures and implementation strategy. This book describes the principles of model building in financial engineering and explains those models as designs and working implementations for Java-based applications.

Throughout the book a series of packaged classes are developed to address a wide range of financial applications. Java methods are designed and implemented based on the most widely used models in financial engineering and investment practice. The classes and methods are explained and designed in a way which allows the financial engineer complete flexibility. The classes can be used as off-the-shelf working solutions or the innovative developer can re-arrange and modify methods to create new products

Provides software professionals with an accessible source of numerical methods or ready-to-use code for use in business applications First book to cover the topic of Java implementations for finance/investment applications Written specifically to be accessible to software practitioners without prior accountancy/finance training

Autorentext

Phil Barker has considerable experience in both software engineering and in finance and investment having taught courses at the National Alvey HCI centre, a government funded organisation transferring university based research into commercial applications. Prior to this he lectured at Heriot-Watt University where he taught undergraduate and postgraduate courses in computer science and accountancy. His research focused on neural networks and cognitive modelling involving the use of software simulations. He is currently an independent consultant to the financial and investment sector.

Klappentext

This book is structured around the main theories and models used by practitioners to engineer finance and investment tools. The methods developed and implemented in the text are organized as chapters which cover the core areas. Each chapter is largely self-contained, thus the practitioner or student can conveniently focus on a defined tool and have immediate access to an implemented solution. Those engaged in the design and evaluation of new products will find the quick access to a wide range of robust core methods invaluable in constructing bespoke implementations.

With the pervasiveness and rapid pace of advancement in Web based technologies, it is now a given that any commercially useful computational tool is able to make an effective and efficient use of Web based platforms. Java is the language of choice for developing highly efficient Web based applications. All of the methods in this book are written in Java and use is made of the fully optimised Java Collections for data manipulation. For practitioners and students alike who are still working with legacy C++ or Visual Basic implementations, this book will serve as an excellent reference for translating or porting their applications into a Web centric environment.

Phil Barker followed an academic career for many years , holding a lectureship in Computer Science at Heriot-Watt University, Edinburgh where he led undergraduate degree and postgraduate master's courses in Computer Science and Accountancy. He has a considerable depth of commercial experience having directed research, technical and operations functions within technology based companies serving blue chips in finance, investment and banking. He is currently CEO of BWA Technologies Ltd a company specializing in the development of investment and risk management software.

Inhalt
Interest Rate Calculations.- Bonds.- Duration.- Futures.- Options.- Modelling Stock Prices.- The Binomial Model.- Analytical Option Pricing Methods.- Sensitivity Measures (The 'Greeks').- Interest Rate Derivatives.- Conditional Options.- Complex Conditional Options.- Barrier Type Options.- Double Barrier Options.- Digital Options.- Special Case Barrier Options.- Other Exotics.