Computational Finance Using C and C# - 2nd Edition - ISBN: 9780128035795, 9780128035764

Computational Finance Using C and C#

2nd Edition

Derivatives and Valuation

Authors: George Levy
eBook ISBN: 9780128035764
Hardcover ISBN: 9780128035795
Imprint: Academic Press
Published Date: 17th June 2016
Page Count: 388
Tax/VAT will be calculated at check-out Price includes VAT (GST)
30% off
30% off
30% off
30% off
30% off
20% off
20% off
30% off
30% off
30% off
30% off
30% off
20% off
20% off
30% off
30% off
30% off
30% off
30% off
20% off
20% off
60.99
42.69
42.69
42.69
42.69
42.69
48.79
48.79
101.00
70.70
70.70
70.70
70.70
70.70
80.80
80.80
71.95
50.37
50.37
50.37
50.37
50.37
57.56
57.56
Unavailable
Price includes VAT (GST)
× DRM-Free

Easy - Download and start reading immediately. There’s no activation process to access eBooks; all eBooks are fully searchable, and enabled for copying, pasting, and printing.

Flexible - Read on multiple operating systems and devices. Easily read eBooks on smart phones, computers, or any eBook readers, including Kindle.

Open - Buy once, receive and download all available eBook formats, including PDF, EPUB, and Mobi (for Kindle).

Institutional Access

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.

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

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

Appendix G. The Brownian Bridge: alternative derivation

Appendix H. Brownian motion: more results

Appendix I. Feynman-Kac formula


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


Details

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

Reviews

"I recommend this book to anyone who needs a strong reference on the computational aspects of financial calculations. The reader will find not only all the relevant computer codes in Visual Basic/Excel, C++, C, and C#, but also the required theory for a better understanding of financial concepts." --Francois-Eric Racicot, University of Ottawa

"This is a book with equal coverage of financial mathematics, derivatives, and computer programming. It will be a welcome addition to any student's or practitioner's library." --Yuh-Dauh Lyuu, National Taiwan University

"The use of derivatives for hedging possible finance risks became extremely popular due to the globalisation of international trade. This book provides for readers interesting linkage of theoretical background for valuation of all types of derivatives with their practical impact. Professional valuers would appreciate the 8th chapter dealing with C# portfolio pricing app. Very topical is the last chapter dealing with 2008 credit crisis. I would like to strongly recommend this book for publishing." --Jiri Strouhal, University of Economics Prague and President of Association of Czech Professional Accountants


About the Authors

George Levy Author

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