Java Methods for Financial Engineering

Phil Barker has considerable experience in both software engineering and in finance and investment having taught courses at the National Alvey HCI centre, a government funded organisation transferring university based research into commercial applications. Prior to this he lectured at Heriot-Watt University where he taught undergraduate and postgraduate courses in computer science and accountancy. His research focused on neural networks and cognitive modelling involving the use of software simulations. He is currently an independent consultant to the financial and investment sector.

• Interest Rate Calculations.- Bonds.- Duration.- Futures.- Options.- Modelling Stock Prices.- The Binomial Model.- Analytical Option Pricing Methods.- Sensitivity Measures (The ‘Greeks’).- Interest Rate Derivatives.- Conditional Options.- Complex Conditional Options.- Barrier Type Options.- Double Barrier Options.- Digital Options.- Special Case Barrier Options.- Other Exotics.

From the reviews: "This is a book that aims to provide software professionals with an accessible source of numerical methods and/or a 'ready-to-use' code for use in business applications. Anyone working in management sciences, in modeling or software development will want to peruse this text. ... 'it is the first book to cover the topic of Java implementations for finance investment applications.' The book sets out to describe the principles of model building in financial engineering and to explain those models as designs for Java-based applications." (C.J.H. Mann, Kybernetes, Vol. 37 (1), 2008)