Overview
- Presents a systematic software engineering approach for the construction of financial applications
- Provides an introduction to financial concepts and the main financial products (bonds, shares, derivatives)
- Combines agile development with model-based development
- The first text to specifically cover software engineering for the finance domain
Part of the book series: Undergraduate Topics in Computer Science (UTICS)
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Table of contents (10 chapters)
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Front Matter
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Back Matter
Keywords
About this book
In this textbook the authors introduce the important concepts of the financial software domain, and motivate the use of an agile software engineering approach for the development of financial software. They describe the role of software in defining financial models and in computing results from these models. Practical examples from bond pricing, yield curve estimation, share price analysis and valuation of derivative securities are given to illustrate the process of financial software engineering.
Financial Software Engineering also includes a number of case studies based on typical financial engineering problems:
*Internal rate of return calculation for bonds
* Macaulay duration calculation for bonds
* Bootstrapping of interest rates
* Estimation of share price volatility
* Technical analysis of share prices
* Re-engineering Matlab to C#
* Yield curve estimation
* Derivative security pricing
* Risk analysis of CDOs
The book is suitable for undergraduate and postgraduate study, and for practitioners who wish to extend their knowledge of software engineering techniques for financial applications
Authors and Affiliations
About the authors
Dr Haughton has worked in the fields of quantitative finance, risk management and credit risk since 1994. Formally at JP Morgan, Dresdner Bank, Deutsche bank, Merrill Lynch and the Commonwealth Secretariat, he is the director of Holistic Risk Solutions Ltd.
Bibliographic Information
Book Title: Financial Software Engineering
Authors: Kevin Lano, Howard Haughton
Series Title: Undergraduate Topics in Computer Science
DOI: https://doi.org/10.1007/978-3-030-14050-2
Publisher: Springer Cham
eBook Packages: Computer Science, Computer Science (R0)
Copyright Information: Springer Nature Switzerland AG 2019
Softcover ISBN: 978-3-030-14049-6Published: 07 May 2019
eBook ISBN: 978-3-030-14050-2Published: 02 May 2019
Series ISSN: 1863-7310
Series E-ISSN: 2197-1781
Edition Number: 1
Number of Pages: XV, 198
Number of Illustrations: 46 b/w illustrations, 19 illustrations in colour
Topics: Software Engineering, Financial Engineering, Financial Mathematics