Financial Trading System Development
10/01/15
1
Automated Trading Systems (1/2)
An automated trading system consists of:
Interacting trade execution algorithms
Quantified trade selection rules
Business logic necessary to enter into and exit from
positi

Large Scale Financial System
Design & Development
10/01/15
1
This unit will explain the process of decomposing
large systems into physical hierarchies of smaller,
more manageable components, and the
motivation for following good physical as well as
logic

Financial Computation in Java
10/01/15
1
Sun Microsystems describes Java as a
language which is simple, objectoriented, distributed, robust, secure,
with neutral architecture, portable,
interpreted, high-performance, multitasking and dynamic.
2
10/01/15
T

Bond Pricing and Term Structure
10/01/15
1
Present Value
N
PV d ti Cti
i
1
Ct cash flow at time t.
dt discount factor
rt interest rate for t-period,
the spot rate
1
dt
(1 rt ) t
The Present Value of a stream of cash flows paid at discrete dates, t = 1,
2

Financial Computation in
C/C+
10/01/15
1
Binomial Model
S (n, i ) S (0)(1 U ) i (1 D) n i
at step n and node i,
where S(0) > 0, U > D > -1
and n >= i >= 0
10/01/15
2
Cox-Ross-Rubinstein (CRR) procedure
At the expiry date N, H(N, i) = h(S(N,i), for each no

Working with Historical & Market Data
10/01/15
1
Topics in Working with Historical & Market Data:
Access Market Data using libcurl in C+
Communicate between C+ and Excel
Using Microsoft Access Database in C+ Programs
2
10/01/15
Access Market Data using

Financial Applications Using Data
Structures and Templates
10/01/15
1
Overview
Introduce advanced object-oriented programming
techniques and demonstrate how these techniques could
be applied to solve complicated problems in quantitative
finance.
Impleme

Monte Carlo Methods
10/01/15
1
Overview
Path-dependent Options
Valuation
Pricing Error
Greek Parameters
Variance Reduction
Path-dependent Basket Options
10/01/15
2
Path-dependent Options
A money account:
A(t) = ert , where t 0 is the time, r R is the ris

Implementation of Non-linear
Solvers in C+
10/01/15
1
Overview
Implied volatility
Well-known numerical methods for solving non-linear
equations:
Bisection Method
Newton-Raphson Method
Three implementations of these methods:
Function pointers
Virtua