My second book is Principles of Quantitative Development, has been published by the prestigious John Wiley and Sons in Aug 2010. The book deals with the issues around designing a trading platform where you can quickly plug in quantitative pricing models and handle the whole front office – middle office – settlement chain of a trade life cycle.
Designing a trading platform is more than a technical challenge. Primarily, it is a challenge in understanding the business processes around the trade lifecycle and the organizational value chain. Although specific to the institution, these processes tend to have commonalities across the industry. Focusing on the common features, the book will highlight the overlap between the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization. The book will, therefore, deal with the typical lifecycle of a trade as well as the technical aspects of platform design. To illustrate the technical aspects, the book will contain a fully functional pricing program and exercises based on it.
All professionals involved in the trade work flow (the front office quant and development groups as well as the middle office processing and the back end settlement folks) will benefit from the insights presented in the book. The book will also be of tremendous help to the growing number of highly skilled domain experts stepping into the field of quantitative finance. They need a quick-start overview of the lay of the land so that they can hit the ground running.
Working as a senior quantitative professional, I realized that most of the quantitative analysts and developers (especially the junior ones) lack an understanding of or appreciation for the intricacies of the trade booking process. They go about their daily work narrowly focusing on their immediate tasks, all too often completely ignoring the contexts. Yet, in order to succeed in their profession, they need an understanding of the contexts of the trade work flow, and the processes they have to service during a trade life cycle.
I recently wrote an article for the Wilmott magazine addressing these issues (published in Sept 2008). While writing it, I realized that it was a much bigger topic and that a book on it could benefit a large and growing number of professionals. The realization came about from the enthusiastic response my article received when I sent it around for feedback. And when Wiley asked me to consider writing a book, I proposed Principles of Quantitative Development as an offshoot of that article.
- More about Principles of Quantitative Development at its own site.