Applying design patterns for web-based derivatives pricing

Papakostas, V; Xidonas, P; Askounis, D; Psarras, J

dc.contributor.author	Papakostas, V	en
dc.contributor.author	Xidonas, P	en
dc.contributor.author	Askounis, D	en
dc.contributor.author	Psarras, J	en
dc.date.accessioned	2014-03-01T02:50:18Z
dc.date.available	2014-03-01T02:50:18Z
dc.date.issued	2006	en
dc.identifier.issn	1743355X	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/35050
dc.subject	Design patterns	en
dc.subject	Financial applications	en
dc.subject	Financial derivatives	en
dc.subject	J2EE patterns	en
dc.subject	Multi-tiered architectures	en
dc.subject	Pricing models	en
dc.subject	Web-based applications	en
dc.subject.other	Computational methods	en
dc.subject.other	Mathematical models	en
dc.subject.other	Monte Carlo methods	en
dc.subject.other	Software engineering	en
dc.subject.other	Web services	en
dc.subject.other	Design patterns	en
dc.subject.other	Financial applications	en
dc.subject.other	Financial derivatives	en
dc.subject.other	J2EE patterns	en
dc.subject.other	Multi-tiered architectures	en
dc.subject.other	Pricing models	en
dc.subject.other	Web-based applications	en
dc.subject.other	Financial data processing	en
dc.title	Applying design patterns for web-based derivatives pricing	en
heal.type	conferenceItem	en
heal.identifier.primary	10.2495/CF060191	en
heal.identifier.secondary	http://dx.doi.org/10.2495/CF060191	en
heal.publicationDate	2006	en
heal.abstract	Derivatives pricing models have been widely applied in the financial industry for building software systems for pricing derivative instruments. However, most of the research work on financial derivatives is concentrated on computational models and formulas. There is little guidance for quantitative developers on how to apply these models successfully in order to build robust, efficient and extensible software applications. The present paper proposes an innovative design of a web-based application for real-time financial derivatives pricing, which is entirely based on design patterns, both generic and web-based application specific. Presentation tier, business tier and integration tier patterns are applied. Financial derivatives, underlying instruments and portfolios are modelled. Some of the principal models for evaluating derivatives (Black-Scholes, binomial trees, Monte Carlo simulation) are incorporated. Arbitrage opportunities and portfolio rebalancing requirements are detected in real time with the help of a notification mechanism. The novelty in this paper is that the latest trends in software engineering, such as the development of web-based applications, the adoption of multi-tiered architectures and the use of design patterns, are combined with financial engineering concepts to produce design elements for software applications for derivatives pricing. Although our design best applies to the popular J2EE technology, its flexibility allows many of the principles presented to be adopted by web-based applications implemented with alternative technologies.	en
heal.journalName	WIT Transactions on Modelling and Simulation	en
dc.identifier.doi	10.2495/CF060191	en
dc.identifier.volume	43	en
dc.identifier.spage	193	en
dc.identifier.epage	202	en