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Numerical Methods for Pricing Financial Instruments
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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
Computational Finance presents a modern computational approach to mathematical finance within the Windows environment,
and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can
be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland
Delphi, Visual Basic and Visual C++.
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.
A CD-ROM is included which contains: working computer code, demonstration
applications and also pdf versions of several research articles.
Audience
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
Contents
Using Numerical Software Components with Microsoft Windows:
Introduction; Dynamic Link Libraries (DLLs); ActiveX and
COM; A financial derivative pricing example; ActiveX components and numerical optimization; XML and transformation using XSL; Epilogue;
Pricing Assets:
Introduction; Analytical methods and single asset European options; Numeric methods and single asset
American options; Monte Carlo simulation; Multiasset European and American options; Dealing with missing data;
Financial Econometrics:
Introduction; GARCH models; Nonlinear GARCH; GARCH conditional probability distributions; Maximum likelihood parameter estimation; Analytic
derivatives of the log likelihood; GJR-GARCH algorithms; GARCH software; GARCH process identification; Multivariate time series; Appendices.
| Bibliographic details |
Hardbound, 456 pages, publication date: DEC-2003
ISBN-13: 978-0-7506-5722-8
ISBN-10: 0-7506-5722-7
Imprint: BUTTERWORTH HEINEMANN
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| Price and Ordering |
Price:
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USD 133
GBP 82
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Last update: 3 Oct 2009
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