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  • Format: PDF


Principles of Quantitative Development is a practical guideto designing, building and deploying a trading platform. It is alsoa lucid and succinct exposé on the trade life cycle and thebusiness groups involved in managing it, bringing together the bigpicture of how a trade flows through the systems, and the role of aquantitative professional in the organization. The book begins by looking at the need and demand for in-housetrading platforms, addressing the current trends in the industry.It then looks at the trade life cycle and its participants, frombeginning to end, and then the functions…mehr

Produktbeschreibung
Principles of Quantitative Development is a practical guideto designing, building and deploying a trading platform. It is alsoa lucid and succinct exposé on the trade life cycle and thebusiness groups involved in managing it, bringing together the bigpicture of how a trade flows through the systems, and the role of aquantitative professional in the organization. The book begins by looking at the need and demand for in-housetrading platforms, addressing the current trends in the industry.It then looks at the trade life cycle and its participants, frombeginning to end, and then the functions within the front, middleand back office, giving the reader a full understanding andappreciation of the perspectives and needs of each function. Thebook then moves on to platform design, addressing all thefundamentals of platform design, system architecture, programminglanguages and choices. Finally, the book focuses on some of themore technical aspects of platform design and looks at traditionaland new languages and approaches used in modern quantitativedevelopment. The book is accompanied by a CD-ROM, featuring a fully workingoption pricing tool with source code and project buildinginstructions, illustrating the design principles discussed, andenabling the reader to develop a mini-trading platform. The book is also accompanied by a websitehttp://pqd.thulasidas.com that contains updates and companionmaterials.

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  • Produktdetails
  • Verlag: John Wiley & Sons
  • Seitenzahl: 256
  • Erscheinungstermin: 07.09.2011
  • Englisch
  • ISBN-13: 9780470667378
  • Artikelnr.: 38192860
Autorenporträt
A physicist-turned-quant, Dr. Manoj Thulasidas works as asenior quantitative professional at Standard Chartered Bank inSingapore, focusing on the design and deployment of tradingsystems. Well recognized in his field, the author is a regularcolumnist for Wilmott Magazine, and has published several articleson a variety of topics related to quants and quantitativefinance. Thulasidas received his undergraduate degree from IIT, Madras in1987. A physics aficionado, he then studied fundamental particlesand interactions at the CLEO collaboration at Cornell Universityduring 1988-93. After receiving his Ph.D from Syracuse University,he continued his work at the ALEPH collaboration at CERN, Geneva.During his 10-year career as a research scientist in the field ofhigh energy physics, he co-authored over 190 publications. In 2005, the author switched to quantitative finance, and joinedOCBC, a regional bank in Singapore. He led the quantitativeanalytics team for pricing model validation and other mathematicaltasks. This middle office job, involving risk management andcurtailing ebullient traders, gave him a thorough overview ofpricing models and, perhaps more importantly, a perfectunderstanding of the conflict-driven implementation of the riskappetite of the bank. Later on, he moved to Standard CharteredBank, taking care of their in-house trading platforms, whichfurther enhanced his "big picture" outlook and inspired him towrite Principles of Quantitative Development.
Inhaltsangabe
List of Figures, Tables and Big Pictures. Preface. 1 Introduction. 1.1 What is a trading platform? 1.1.1 Model archival. 1.1.2 Incremental deployability. 1.1.3 Live data feeds. 1.1.4 Trade persistence. 1.1.5 Regular processing. 1.2 Quants and quantitative developers. 1.3 Need for speed. 1.4 Implementation options. 1.4.1 Outsource to vendor. 1.4.2 Use vendor API. 1.4.3 Develop in
house. 1.4.4 Replace vended systems. 1.5 Current trends. 1.6 Technical and business aspects of platform design. 1.7 Importance of processes. 1.8 Objectives and organization. Quiz. 2 Overview of Banking. 2.1 The offices. 2.2 Front office. 2.2.1 Economists. 2.2.2 Structurers. 2.2.3 Sales. 2.2.4 Trading desks. 2.2.5 Desk quants. 2.2.6 Platform or quantitative developers. 2.2.7 Desk risk management. 2.3 Middle office. 2.3.1 Product control. 2.3.2 Treasury control unit. 2.3.3 Market risk management. 2.3.4 Credit risk management. 2.3.5 Operational risk management. 2.3.6 Rates management. 2.3.7 Static data management. 2.3.8 Compliance and reporting. 2.3.9 Market risk management analytics. 2.3.10 Asset and liability management. 2.4 Back office. 2.5 Supporting units. 2.6 Summary. Quiz. 3 Trade Life Cycle. 3.1 Pre
trade activities. 3.2 Inception. 3.3 Validation. 3.4 Regular processing. 3.5 Life
cycle events. 3.6 Termination and settlement. 3.7 Post
trade Activities. 3.8 Summary. Quiz. 4 Trade Perspectives. 4.1 Trade
centric view. 4.2 Model
centric view. 4.3 Product
centric view. 4.4 Asset
class view. 4.5 Queues and status flags. 4.6 Aggregate views. 4.7 Bottom
line view. 4.8 Other perspectives. 4.9 Summary. Quiz. 5 Programming Languages
Basics and Choices. 5.1 Language choice. 5.2 Basics of computing. 5.2.1 Development cycle. 5.2.2 Dependencies and Makefiles. 5.2.3 Lexical structure of a programming language. 5.3 Object
oriented languages. 5.3.1 Basics of object
oriented methodology. 5.3.2 Advantages and disadvantages of the object
oriented approach. 5.4 Functional programming. 5.5 Summary. Quiz. 6 Trading Platform Design. 6.1 General design considerations. 6.1.1 Maintainability and documentation. 6.1.2 Scalability and extensibility. 6.1.3 Security and access control. 6.2 Architecture components. 6.2.1 Trade representation. 6.2.2 Market representation. 6.2.3 Static data management. 6.2.4 Quant library. 6.2.5 Trade transformations and operations. 6.2.6 Settlement triggers or pathways. 6.2.7 Batch processing and grid computing. 6.2.8 Credit replication. 6.2.9 Security and audit model. 6.2.10 Documentation and support model. 6.3 Example architecture. 6.4 Advanced architecture. 6.5 Summary. Quiz. 7 Computing Patterns for Trading. 7.1 Facade pattern. 7.2 Visitor pattern. 7.3 Singleton pattern. 7.4 Factory patterns. 7.5 Component object model. 7.6 Summary. Quiz. 8 Flexible Derivatives Pricing Tool. 8.1 Design scope. 8.2 Design goals and features. 8.2.1 Pricing tool features. 8.2.2 Data types support. 8.3 User interface. 8.3.1 Main control interface. 8.3.2 Create/edit product. 8.3.3 Create/edit model. 8.3.4 Generating a function template. 8.3.5 Complex parameter visualization. 8.3.6 Pricing interface. 8.3.7 Visualization interface. 8.3.8 Finite difference engine. 8.4 Summary. Quiz. 9 Pricing Tool to Trading Platform. 9.1 Pricing tool: internals. 9.1.1 Common quant classes. 9.1.2 Main interfaces. 9.1.3 Pluggable pricing models. 9.1.4 Reusable components. 9.1.5 Source code documentation. 9.1.6 External packages. 9.2 Future enhancements. 9.2.1 Trade database. 9.2.2 Market data. 9.2.3 Life
cycle management. 9.2.4 Security and access control. 9.2.5 Batch process. 9.3 Summary. Quiz. 10 Summing Up. 10.1 Epilogue. 10.2 Further reading. 10.2.1 Quantitative finance. 10.2.2 Computing. 10.2.3 Economics. Appendix. A.1 CD Contents. A.2 Historical perspective. Glossary of Terms. Index.