
Computational Finance Using C and C#
Derivatives and Valuation
Resources
Description
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 FinanceAppendix
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
Affiliations and Expertise
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