Computational Finance Using C and C#

Computational Finance Using C and C#

Derivatives and Valuation

2nd Edition - June 17, 2016

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  • Author: George Levy
  • eBook ISBN: 9780128035764
  • Hardcover ISBN: 9780128035795

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Description

Computational Finance Using C and C#: Derivatives and Valuation, Second Edition provides derivatives pricing information for equity derivatives, interest rate derivatives, foreign exchange derivatives, and credit derivatives. By providing free access to code from a variety of computer languages, such as Visual Basic/Excel, C++, C, and C#, it gives readers stand-alone examples that they can explore before delving into creating their own applications. It is written for readers with backgrounds in basic calculus, linear algebra, and probability. Strong on mathematical theory, this second edition helps empower readers to solve their own problems. *Features new programming problems, examples, and exercises for each chapter. *Includes freely-accessible source code in languages such as C, C++, VBA, C#, and Excel.. *Includes a new chapter on the history of finance which also covers the 2008 credit crisis and the use of mortgage backed securities, CDSs and CDOs. *Emphasizes mathematical theory.

Key Features

  • Features new programming problems, examples, and exercises with solutions added to each chapter
  • Includes freely-accessible source code in languages such as C, C++, VBA, C#, Excel,
  • Includes a new chapter on the credit crisis of 2008
  • Emphasizes mathematical theory

Readership

Upper-division undergraduates and first-year graduate students worldwide in financial engineering, quantitative finance, computational finance and mathematical finance. Also professionals working in financial institutions, insurance, and risk management

Table of Contents

  • 1. Overview of financial derivatives
    2. Introduction to stochastic processes
    3. Generation of random variates
    4. European Options
    5. Single asset American options
    6. Multi-asset options
    7. Other Financial Derivatives
    8. C# Portfolio Pricing Application
    9. A Brief History of Finance

    Appendix
    A. The Greeks for vanilla European options
    B. Barrier option integrals
    C. Standard statistical results
    D. Statistical distribution functions
    E. Mathematical reference
    F. Black-Scholes finite-difference schemes
    G. The Brownian Bridge: alternative derivation
    H. Brownian motion: more results
    I. Feynman-Kac formula

Product details

  • No. of pages: 388
  • Language: English
  • Copyright: © Academic Press 2016
  • Published: June 17, 2016
  • Imprint: Academic Press
  • eBook ISBN: 9780128035764
  • Hardcover ISBN: 9780128035795

About the Author

George Levy

George Levy currently works as a quantitative analyst at RWE, and has provided technical consultancy to numerous financial institutions, In addition he has also published articles on numerical modelling, mathematical finance and software engineering. He is the author of Computational Finance: Numerical Methods for Pricing Financial Derivatives. His interests include: Monte Carlo simulation, Microsoft technologies and derivative valuation.

Affiliations and Expertise

Senior Project Consultant developing software for estimating financial risk, SunGard Systems, UK

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