Computational Finance Using C and C#
2nd Edition
Derivatives and Valuation
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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
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:
- 17th June 2016
- Imprint:
- Academic Press
- Hardcover ISBN:
- 9780128035795
- eBook ISBN:
- 9780128035764
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
Ratings and Reviews
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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