Daniel J. Duffy's Books

Monte Carlo Frameworks

Building Customisable High-performance C++ Applications

By: Daniel J. Duffy,Joerg Kienitz

Write a review Read reviews Take a Quiz Solve Book Puzzle

Monte Carlo Frameworks

Building Customisable High-performance C++ Applications

By: Daniel J. Duffy,Joerg Kienitz

This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

775

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470684062

ISBN 13

9780470684061

Financial Instrument Pricing Using C++

By: Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Financial Instrument Pricing Using C++

By: Daniel J. Duffy

An integrated guide to C++ and computational finance This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of Financial Instrument Pricing Using C++. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by: Delving into a detailed account of the new C++11 standard and its applicability to computational finance. Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity. Developing multiparadigm software using the object-oriented, generic, and functional programming styles. Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns. Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models. Developing applications, from financial model to algorithmic design and code, through a coherent approach. Generating interoperability with Excel add-ins, C#, and C++/CLI. Using random number generation in C++11 and Monte Carlo simulation. Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material. This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing. HOW TO RECEIVE THE SOURCE CODE Once you have purchased a copy of the book please send an email to the author dduffyATdatasim.nl requesting your personal and non-transferable copy of the source code. Proof of purchase is needed. The subject of the mail should be “C++ Book Source Code Request”. You will receive a reply with a zip file attachment.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

1168

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470971193

ISBN 13

9780470971192

C# for Financial Markets

By: Daniel J. Duffy,Andrea Germani

Write a review Read reviews Take a Quiz Solve Book Puzzle

C# for Financial Markets

By: Daniel J. Duffy,Andrea Germani

A practice-oriented guide to using C# to design and program pricing and trading models In this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products, and more. A unique mix of modern software technology and quantitative finance, this book is both timely and practical. The approach is thorough and comprehensive and the authors use a combination of C# language features, design patterns, mathematics and finance to produce efficient and maintainable software. Designed for quant developers, traders and MSc/MFE students, each chapter has numerous exercises and the book is accompanied by a dedicated companion website, www.datasimfinancial.com/forum/viewforum.php?f=196&sid=f30022095850dee48c7db5ff62192b34, providing all source code, alongside audio, support and discussion forums for readers to comment on the code and obtain new versions of the software.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

866

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470030089

ISBN 13

9780470030080

Finite Difference Methods in Financial Engineering

A Partial Differential Equation Approach

By: Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Finite Difference Methods in Financial Engineering

A Partial Differential Equation Approach

By: Daniel J. Duffy

The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

452

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118856481

ISBN 13

9781118856482

Numerical Methods in Computational Finance

A Partial Differential Equation (PDE/FDM) Approach

By: Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Numerical Methods in Computational Finance

A Partial Differential Equation (PDE/FDM) Approach

By: Daniel J. Duffy

This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users. Part A Mathematical Foundation for One-Factor Problems Chapters 1 to 7 introduce the mathematical and numerical analysis concepts that are needed to understand the finite difference method and its application to computational finance. Part B Mathematical Foundation for Two-Factor Problems Chapters 8 to 13 discuss a number of rigorous mathematical techniques relating to elliptic and parabolic partial differential equations in two space variables. In particular, we develop strategies to preprocess and modify a PDE before we approximate it by the finite difference method, thus avoiding ad-hoc and heuristic tricks. Part C The Foundations of the Finite Difference Method (FDM) Chapters 14 to 17 introduce the mathematical background to the finite difference method for initial boundary value problems for parabolic PDEs. It encapsulates all the background information to construct stable and accurate finite difference schemes. Part D Advanced Finite Difference Schemes for Two-Factor Problems Chapters 18 to 22 introduce a number of modern finite difference methods to approximate the solution of two factor partial differential equations. This is the only book we know of that discusses these methods in any detail. Part E Test Cases in Computational Finance Chapters 23 to 26 are concerned with applications based on previous chapters. We discuss finite difference schemes for a wide range of one-factor and two-factor problems. This book is suitable as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics have applications to numerical analysis, science and engineering. More on computational finance and the author’s online courses, see www.datasim.nl.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

551

Publisher

John Wiley & Sons

Published Date

ISBN 10

1119719720

ISBN 13

9781119719724

Introduction to C++ for Financial Engineers

An Object-Oriented Approach

By: Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Introduction to C++ for Financial Engineers

An Object-Oriented Approach

By: Daniel J. Duffy

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 includes a companion website 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)

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

405

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118856465

ISBN 13

9781118856468

Introduction to C++ for Financial Engineers

An Object-Oriented Approach

By: Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Introduction to C++ for Financial Engineers

An Object-Oriented Approach

By: Daniel J. Duffy

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

405

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118856465

ISBN 13

9781118856468

Financial Instrument Pricing Using C++

By: Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Financial Instrument Pricing Using C++

By: Daniel J. Duffy

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

1310

Publisher

John Wiley & Sons

Published Date

ISBN 10

1119170486

ISBN 13

9781119170488

Rudolph's Pediatrics, 23rd Edition

By: Mark W. Kline,Susan M. Blaney,Angelo P. Giardino,Jordan S. Orange,Daniel J. Penny,Gordon E. Schutze,Lara S. Shekerdemian,Abraham M. Rudolph,Colin D. Rudolph

Write a review Read reviews Take a Quiz Solve Book Puzzle

Rudolph's Pediatrics, 23rd Edition

By: Mark W. Kline,Susan M. Blaney,Angelo P. Giardino,Jordan S. Orange,Daniel J. Penny,Gordon E. Schutze,Lara S. Shekerdemian,Abraham M. Rudolph,Colin D. Rudolph

Publisher's Note: Products purchased from Third Party sellers are not guaranteed by the publisher for quality, authenticity, or access to any online entitlements included with the product. The landmark pediatrics reference – completely reinvented by an all new team of editors Rudolph's Pediatrics has virtually defined the pediatric field for over a century, becoming one of the most important and well-respected pediatrics texts ever published. Renowned for its balance of clinical features and treatment of disease with underlying biological principles, this classic sourcebook has helped generations of pediatricians optimize their care of infants, children, and adolescents. The Twenty-Third Edition of Rudolph's has been completely restructured and streamlined thanks to an all new team of editors whose goal was to reinvent this classic with today’s busy practitioner in mind. Presented in full color, the Twenty-Third Edition provides an up-to-date, in-depth survey of pediatric medicine unmatched by any other text. With its algorithmic approach to pediatric systems, the book facilitates the diagnosis and treatment of both common and uncommon pediatric illnesses; and it reflects new technologies and advances in molecular medicine that continue to evolve with current thinking about normal childhood development and pediatric disease processes. • New team of editors achieves consistency in both tone and depth of content • Contributions from section editors and authors from leading academic pediatrics programs give expert coverage of general pediatrics and all of the pediatric sub-specialties • Streamlined and consistent format for most chapters outlining Pathogenesis and Epidemiology, Clinical Manifestations, Diagnosis, Treatment, and Prevention • New 2-Volume presentation improves portability • Hundreds of full-color illustrations and tables • The acclaimed balance between clinical applicability and underlying biological principles offers pediatricians a depth of coverage not found anywhere else • Brand new or significantly revised chapters include: Complementary and Integrative Pediatrics, Childhood Adversity and Toxic Stress, Autism Spectrum Disorder, Pediatric Depression and Bipolar Spectrum Disorders, Extracorporeal Membrane Oxygenation (ECMO), Palliative Care for Children with Chronic Diseases, Arboviruses (with new coverage of Zika virus and chikungunya virus), Physiologic Basis of Pulmonary Function; Acute Lymphoblastic Leukemia; Neuroblastoma “You'd be hard pressed to find a resource that matches up to the comprehensive scope of Rudolph's. It's no wonder it's a staple in most offices and hospitals.” -Doody’s Review Service

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

2951

Publisher

McGraw Hill Professional

Published Date

ISBN 10

1259588602

ISBN 13

9781259588600

Introduction to the Boost C++ Libraries; Volume II - Advanced Libraries

By: Robert Demming,Daniel J. Duffy

Write a review Read reviews Take a Quiz Solve Book Puzzle

Introduction to the Boost C++ Libraries; Volume II - Advanced Libraries

By: Robert Demming,Daniel J. Duffy

This book is the follow-up of the Boost Volume I book and it has been written for software developers who use Boost C++ libraries to create flexible applications. We discuss approximately 20 advanced libraries that can be classified into the following major categories: Mathematics: special functions, statistical distributions, interval arithmetic and matrix algebra. Special data structures: date and time, circular buffer, UUID, dynamic bitsets, pool memory. TCP and UDP portable network programming using the software interface. Interprocess communication and shared memory programming models. Three chapters on graphs, graph algorithms and their implementation in Boost. The focus is hands-on and each library is discussed in detail and numerous working examples are given to get the reader up to speed as soon as possible. Each library is described in a step-by-step fashion and you can use the corresponding code as a basis for more advanced applications. These libraries are the ideal basis for new applications. We shall use them in Volume III of the current series when we discuss applications to engineering, science and computational finance. About the Authors Robert Demming is software designer, developer and trainer and he has been involved with software projects in the areas of optical technology, process control, CAD and order processing systems since 1993. He has a BSc degree in technical computerscience from Amsterdam Hogeschool. Daniel J. Duffy is founder of Datasim Education BV and has been working with C++ and its applications since 1989 and with software development since 1979. He is designer, algorithm builder and trainer. He has a PhD in numerical analysis from Trinity College, Dublin. One of the projects that he is involved in is applying the Boost libraries to computational finance.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

356

Publisher

Datasim Education Bv

Published Date

ISBN 10

9491028022

ISBN 13

9789491028021

Book's by Daniel J. Duffy

Monte Carlo Frameworks

Monte Carlo Frameworks

Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++

C# for Financial Markets

C# for Financial Markets

Finite Difference Methods in Financial Engineering

Finite Difference Methods in Financial Engineering

Numerical Methods in Computational Finance

Numerical Methods in Computational Finance

Introduction to C++ for Financial Engineers

Introduction to C++ for Financial Engineers

Introduction to C++ for Financial Engineers

Introduction to C++ for Financial Engineers

Financial Instrument Pricing Using C++

Financial Instrument Pricing Using C++

Rudolph's Pediatrics, 23rd Edition

Rudolph's Pediatrics, 23rd Edition

Introduction to the Boost C++ Libraries; Volume II - Advanced Libraries

Introduction to the Boost C++ Libraries; Volume II - Advanced Libraries

Username

Password

Username

Password

Password again

Birthday

Email