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.
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.
Included in series
Quantitative Finance
Audience:
Financial Engineers and Analysts; Numerical Analysts in Banking, Insurance, and Corporate Finance
