Structured Finance: The Object Oriented Approach (The Wiley Finance Series) - Hardcover

Cherubini, Umberto; Della Lunga, Giovanni

Hardcover

ISBN 10: 0470026383 ISBN 13: 9780470026380

Publisher: Wiley, 2007

Synopsis

Structured Finance: The Object Orientated Approach is aimed at both the finance and IT professionals involved in the structured finance business with the intention of sharing common concepts and language within the industry. The financial community (structurers, pricers and risk managers) view structured products as collections of objects under the so-called replicating portfolio paradigm. The IT community use object oriented programming (OOP) techniques to improve the software updating and maintenance process. For them structured products are collections of objects as well. Despite use of the same object concept, it looks like communication between these different professional functions has been problematic. Recently, construction of standard data structures known as FpML has begun to lay out a common definition of objects, at least for plain vanilla derivatives, both between IT and financial people and across different market players. Along this line, this book builds upon the concept of object to provide frontier treatment of structured finance issues relevant to both communities engaged in building, pricing and hedging products and people engaged in designing and up-dating the corresponding software. 

Structured Finance: The Object Orientated Approach will enable you to: 

• decompose a structured product in elementary constituent financial objects and risk factors (replicating portfolio)
• understand the basics of object oriented programming (OOP) applied to the design of structured cash flows objects
• build your own objects and to understand FpML data structures available for standard products
• gauge risk exposures of the objects in structured products to: risk factors, their volatilities and the correlation among them (which factor are you long/short? Are you long/short volatility? Are you long/short correlation?)
• update your risk management system to accommodate structured products with non linear exposures and to design objects to represent, price and hedge, counterparty risk 

About this title

About the Author

UMBERTO CHERUBINI is Professor of Financial Mathematics at the University of Bologna. He is fellow of the Financial Econometrics Research Center (FERC), University of Warwick and Ente Einaudi, Bank of Italy. He teaches risk management programs for professionals at the Italian Banking Association, and does consulting work with Prometeia, an Italian firm specialized in research and consultancy in economics and finance. He has published in international journals in economics and finance and has co-written the book Copula Methods in Finance (published in 2004 by John Wiley).

GIOVANNI DELLA LUNGA is responsible for Market Risk Methodologies at Prometeia, an Italian firm specialized in research and consultancy in economics and finance. He teaches Finance and Computer Programming at University of Insubria (Varese, Italy) and has published in international journal in physics and chemistry.

Structured Finance: The Object Orientated Approach will enable you to:

• decompose a structured product in elementary constituent financial objects and risk factors (replicating portfolio)
• understand the basics of object oriented programming (OOP) applied to the design of structured cash flows objects
• build your own objects and to understand FpML data structures available for standard products
• gauge risk exposures of the objects in structured products to: risk factors, their volatilities and the correlation among them (which factor are you long/short? Are you long/short volatility? Are you long/short correlation?)
• update your risk management system to accommodate structured products with non linear exposures and to design objects to represent, price and hedge, counterparty risk

From the Inside Flap

"This book is a unique blend of financial concepts and software tools. I have never seen anything like it. Thoughtfully and patiently, the authors weave together motivation, modeling background, data structures, and programming savvy. They are obviously masters of the subject. Any up-and-coming developer of valuation and risk management software for structured financial products should have a copy."
―Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University

"An original and challenging book, combining fundamental programming concepts and financial modeling for portfolios and derivatives analysis." - Helyette Geman, Birkbeck, University of London and ESSEC Business School

"This is an excellent book that encourages financial experts and software Architects to collaborate on Structured Finance business. The book effectively describes the pricing, hedging and risk management for Structured Financial products along with the Object Oriented Programming. The derivatives are explained simply in terms of replicated portfolios and cash flows without any heavy mathematics so that IT engineers will find it easy to read." - Ryozo Miura, Hitotsubashi University, Tokyo, Japan

"Umberto Cherubini and Giovanni Della Lunga's book is unique as it is the first successful attempt to bridge the gap between IT professionals and quants/Structures, and propose a consistent object oriented programming framework to deal with structured products. Without any doubt this book will become 'The' reference on the trading desks, not only to those concerned with the design of consistent data structures for complex derivatives, but also to the quants looking for a good review of pricing models." - Michel Crouhy, Head of Research and Development, NATIXIS

Edition details

• Publisher: Wiley
• Publication date: 2007
• Language: English
• ISBN 10: 0470026383
• ISBN 13: 9780470026380
• Binding: Hardcover
• Edition number: 1
• Number of pages: 304