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商品描述
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
商品描述(中文翻譯)
在這本教科書中，作者介紹了金融軟體領域的重要概念，並激勵使用敏捷軟體工程方法來開發金融軟體。他們描述了軟體在定義金融模型和計算這些模型結果中的角色。書中提供了來自債券定價、收益率曲線估算、股價分析和衍生性金融商品估值的實際範例，以說明金融軟體工程的過程。
《金融軟體工程》還包括基於典型金融工程問題的多個案例研究：
* 債券的內部報酬率計算
* 債券的麥考利持續期間計算
* 利率的引導法（Bootstrapping）
* 股價波動率的估算
* 股價的技術分析
* 將 Matlab 重新工程化為 C#
* 收益率曲線的估算
* 衍生性金融商品定價
* CDO 的風險分析
本書適合本科生和研究生學習，以及希望擴展其金融應用軟體工程技術知識的從業者。
作者簡介
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.
作者簡介(中文翻譯)
拉諾博士在系統規範和驗證領域工作了超過25年。他是模型驅動工程（Model-Driven Engineering, MDE）領域的創始人之一，並且一直是提高軟體建模精確度的主要倡導者，致力於將軟體工程原則應用於轉換建構。近年來，他專注於MDE與敏捷開發的整合。
霍頓博士自1994年以來一直在量化金融、風險管理和信用風險領域工作。曾在摩根大通、德累斯頓銀行、德意志銀行、美林證券和英聯邦秘書處任職，目前是Holistic Risk Solutions Ltd.的董事。
