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📙 Modeling Derivatives in C (Wiley Finance) by Justin London — free epub


I bought this book to implement the GARCH (1,1) routine with the BHHH algorithm. I was impressed that the author took the time to provide the first derivatives of the GARCH model to use in the Berndt, Hall, Hall, and Hausman hill climbing algorithmn and not simply state the obvious, e.g. say take the derivatives and set them equal to zero as most of the academic treatments of the subject do. That is a real cop out. This author has obviously implemented the models. The code clearly is not professional quality. The code was written by a researcher, but sofar it works as advertised. If you want off the shelf, professionally written code then buy Visual Numerics IMSL library for two or three thousand dollars. I have to admit that when I read some of the reviews I was tepid about buying this book. Recall the code was written around 2004. However the good news is that it took me about 8 hours to compile the author's Quant Pricing Engine GARCH 11 example, quanlib 0.9.9, Boost 1.40, newmat 11 (beta) and GNU Scientific Library (GSL) using Visual Studio 2008. Most of the work was setting the proper compiler switches, include directories, compiling the 3rd party open source librarie and getting everything to "play nice" together. The code even compiles using the \CLI switch as managed c code. If you are an experienced c programmer and are not limited to the newer and much less demanding langauges like c# or java this book and the code can be of immense value. The GARCH code and BHHH algorithmn justified the cost of the book by itself for me. By the way, the GARCH code, worked flawlessly and is lightning fast, which is why I am writng the review. I am not in anyway beholden to the author. Places like Goldman, Barclays, JPMorgan, Citi, BoA and hedge funds are unlikely to share that this book is valuable and the code works (at least what I compiled). Good luck to all.

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