Modeling Financial Markets : Using Visual Basic.Net and Databases to Create Pricing, Trading, and Risk Management Models / Edition 1

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Overview

Limitations in today's software packages for financial modeling system development can threaten the viability of any system--not to mention the firm using that system. Modeling Financial Markets is the first book to take financial professionals beyond those limitations to introduce safer, more sophisticated modeling methods. It contains dozens of techniques for financial modeling in code that minimize or avoid current software deficiencies, and addresses the crucial crossover stage in which prototypes are converted to fully coded models.

Benjamin Van Vliet is the associate director of the M.S. in Financial Markets program at the Stuart Graduate School of Business, Illinois Institute of Technology in Chicago, where he teaches courses in quantitative finance and modeling. He is also a principal at the Office for Market Technology, Inc., a consulting company that provides its clients with trading automation solutions, corporate training, and research in the financial markets.

Robert Hendry is an independent software development consultant specializing in client/server and Internet projects for Fortune 500 companies. An instructor at the Illinois Institute of Technology, Hendry is editor in chief of the PowerBuilder Developers' Journal, product reviewer for Wireless Business & Technology magazine, and a member of the USA Today Technology Panel.

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Product Details

  • ISBN-13: 9780071417723
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 1/21/2004
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 304
  • Product dimensions: 6.38 (w) x 9.28 (h) x 1.33 (d)

Meet the Author

Benjamin Van Vliet is the associate director of the M.S. in Financial Markets program at the Stuart Graduate School of Business, Illinois Institute of Technology in Chicago, where he teaches courses in quantitative finance and modeling. He is also a principal at the Office for Market Technology, Inc., a consulting company that provides its clients with trading automation solutions, corporate training, and research in the financial markets.

Robert Hendry is an independent software development consultant specializing in client/server and Internet projects for Fortune 500 companies. An instructor at the Illinois Institute of Technology, Hendry is editor in chief of the PowerBuilder Developers' Journal, product reviewer for Wireless Business & Technology magazine, and a member of the USA Today Technology Panel.

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Table of Contents

Acknowledgments
Sect. 1 Trading system development 1
1 Introduction 3
2 Development methodology 11
Sect. 2 Introduction to VB.NET : algorithm development 31
3 Getting started with VB.NET 33
4 Value types and operators 47
5 Control structures 65
6 Procedures 81
7 Objects 109
8 Arrays 133
9 Problem solving 151
10 .NET type system 171
Sect. 3 Database programming : back testing 185
11 Relational databases 187
12 ADO.NET 201
13 Structured query language 219
14 Introduction to data structures 243
15 Advanced data structures 257
Sect. 4 Advanced VB.NET : implementation 269
16 Software connectivity and interoperability 271
17 Connecting to trading software 281
18 XML 301
19 XML protocols in financial markets 323
Sect. 5 Object-oriented programming : risk management 341
20 Unified modeling language 343
References 379
Acronyms 383
Index 385
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