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To order this title, and for more information, click here
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.
Included in series
Quantitative Finance,
Description
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 firm's 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 Levy's 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 8
All
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.
Audience
Financial Engineers and Analysts; Numerical Analysts in Banking, Insurance, and Corporate Finance
Contents
Contents
Chp. 1 Overview of Financial Derivatives
Chp. 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 Problems
Chp. 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 Variates
Chp. 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 Options
Chp. 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 Lattice
Chp. 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 Options
Chp. 7 Other Financial Derivatives
7.1 Introduction
7.2
Interest Rate Derivatives
7.3 Foreign Exchange Derivatives
7.4 Credit Derivatives
7.5 Equity Derivatives
Chp. 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 Classes
Appendix A: The Greeks for Vanila European
Options
Appendix B: Barrier Option Integrals
Appendix C: Standard Statistical Results
Appendix
D: Statistical Distribution Functions
Appendix E: Mathematical Reference
Appendix F: Black-Scholes
Finite-Difference Schemes
| Bibliographic details |
Hardbound, 384 pages, publication date: MAY-2008
ISBN-13: 978-0-7506-6919-1
ISBN-10: 0-7506-6919-5
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
GBP 49.99
USD 89.95
EUR 58.95
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Last update: 25 Nov 2009
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