Computational Finance Using C and C#By
- George Levy, DPhil, University of Oxford, A Senior Project Consultant developing software for estimating financial risk at SunGard Systems, UK, George Levy has a doctorate in mathematical physics from Oxford University. For 11 years he worked at the Numerical Algorithms Group (NAG), developing mathematical and financial software.
In Computational Finance Using C and C# George Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firms internal software and code requirements. Levy also provides derivatives pricing information for: equity derivates: vanilla options, quantos, generic equity basket options interest rate derivatives: FRAs, swaps, quantos foreign exchange derivatives: FX forwards, FX options credit derivatives: credit default swaps, defaultable bonds, total return swaps. Computational Finance Using C and C# by George Levy is supported by extensive web resources. Available for purchase on the multi-tier website are e versions of this book and Levys first book, Computational Finance: Numerical Methods for Pricing Financial Derivatives. Purchasers of the print or e-book can download free software consisting of executable files, configuration files, and results files. With these files the user can run the example portfolio application in Chapter 8 and change the portfolio composition and the attributes of the deals.In addition, Upgrade Software is available on the website for a small fee, and includes: Code to run all the C, C# and Excel examples in the book Complete C source code for the Analytics_Mathlib maths library that is used in the book C# source code, market data and portfolio files for the portfolio application described in Chapter 8All the C/C# software can be compiled using either Visual Studio .NET 2005, or the freely available Microsoft Visual C#/C++ 2005 Express Editions. With this software, the user can open the files and create new deals, new instruments, and change the attributes of the deals by editing the code and recompiling it. This serves as a template that a user can run to customize the deals for their personal, everyday use.
Financial Engineers and Analysts; Numerical Analysts in Banking, Insurance, and Corporate Finance
Hardbound, 384 Pages
Imprint: Academic Press
Baxter and Rennie, add the pricing models from Wilmottand, to illustrate each model, Levy's own Numerical Recipesin C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants. - Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK
- ContentsChp. 1 Overview of Financial DerivativesChp. 2 Introduction to Stochastic Processes 2.1 Brownian Motion 2.2 A Brownian Model of Asset Price Movements 2.3 Itos's Formula (or lemma) 2.4 Girsanov's Theorem 2.5 Ito's Lemma for Multi-asset Geometric Brownian Motion 2.6 Ito Product and Quotient Rules 2.7 Ito Product in n Dimensions 2.8 The Brownian Bridge 2.9 Time Transformed Brownian Motion 2.10 Ornstein Uhlenbeck Bridge 2.11 The Ornstein Uhlenbeck Bridge 2.12 Other Useful Results 2.13 Selected ProblemsChp. 3 Generation of Random Variates 3.1 Introduction 3.2 Pseudo-random and Quasi-random Sequences 3.3 Generation of Multivariate Distributions: independent variates 3.4 Generation of Multivariate Distributions: Correlated VariatesChp. 4 European Options 4.1 Introduction 4.2 Pricing Derivatives Using A Martingale Measure 4.3 Put Call Parity 4.4 Vanilla Options and the Black Scholes Model 4.5 Barrier OptionsChp. 5 Single Asset American Options 5.1 Introduction 5.2 Aproximations for Vanilla American Options 5.3 Lattice Methods for Vanilla Options 5.4 Grid Methods for Vanilla Options 5.5 Pricing American Options Using A Sthochastic LatticeChp. 6 Multi-Asset Options 6.1 Introduction 6.2 The Multi-Asset Black Scholes Equation 6.3 Multi-dimenssional Monte Carlo Methods 6.4 Introduction to Multi-dimenssional Lattice Methods 6.5 Two Asset Options 6.6 Three Asset Options 6.7 Four Asset OptionsChp. 7 Other Financial Derivatives 7.1 Introduction 7.2 Interest Rate Derivatives 7.3 Foreign Exchange Derivatives 7.4 Credit Derivatives 7.5 Equity DerivativesChp. 8 C# Portfolio Pricing Application 8.1 Introduction 8.2 Storing and Retrieving the Market Data 8.3 The PricingUtils Class and the Analytics_MathLib 8.4 Equity Deal Classes 8.5 FX Deal ClassesAppendix A: The Greeks for Vanila European OptionsAppendix B: Barrier Option IntegralsAppendix C: Standard Statistical ResultsAppendix D: Statistical Distribution FunctionsAppendix E: Mathematical ReferenceAppendix F: Black-Scholes Finite-Difference Schemes