Numerical Methods for Pricing Financial Instruments
- 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.
These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application.
Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML.
Additional features such as: working computer code, demonstration applications and also pdf versions of several research articles can be found on the companion site.
Financial Analysts; Financial Engineers; Numerical Analysts; Investment Portfolio Managers; MATLAB Users in Investment Banking, Commercial Banking, Insurance, and Corporate Finance; MSc courses in Computational Finance
- Published: December 2003
- Imprint: BUTTERWORTH HEINEMANN
- ISBN: 978-0-7506-5722-8
There are a number of books that describe the numerical methods available for solving the resultant equations in each of these areas. But the final step of coding the numerical models in a suitable environment has not, up to this point, been particularly well covered. Until now. My next choice, Computational Finance: Numerical Methods for Pricing Financial Instruments, written by George Levy and published by Elsevier Butterworth Heinemann as part of the Elsevier finance series, does precisely that. It also includes a CD full of code and examples in environments including Visual Basic in Excel, C, C++, as well as more advanced environments such as HTML, XML, Delphi and C#.net. This is the first in what I expect will become a growing area, which may mean that financial engineering coders will finally be able to throw out their old copies of Numerical Recipes. One of the Top Ten financial engineering titles published in 2003-2004 - Richard Norgate, Ph.D., Financial Engineering News