Description

In Computational Finance Using C and C# George Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm’s internal software and code requirements. Levy also provides derivatives pricing information for: — equity derivates: vanilla options, quantos, generic equity basket options — interest rate derivatives: FRAs, swaps, quantos — foreign exchange derivatives: FX forwards, FX options — credit derivatives: credit default swaps, defaultable bonds, total return swaps. Computational Finance Using C and C# by George Levy is supported by extensive web resources. Available for purchase on the multi-tier website are e versions of this book and Levy’s first book, Computational Finance: Numerical Methods for Pricing Financial Derivatives. Purchasers of the print or e-book can download free software consisting of executable files, configuration files, and results files. With these files the user can run the example portfolio application in Chapter 8 and change the portfolio composition and the attributes of the deals. In addition, Upgrade Software is available on the website for a small fee, and includes: Code to run all the C, C# and Excel examples in the book Complete C source code for the Analytics_Mathlib maths library that is used in the book C# source code, market data and portfolio files for the portfolio application described in Chapter 8 All the C/C# software can be compiled using either Visual Studio .NET 2005, or the freely available Microsoft Visual C#/C++ 2005 Express Editions. With this software, the user can open the files and create new deals, new instruments, and change the attributes of the deals by ed

Key Features

* Complete financial instrument pricing code in standard C and C# available to book buyers on companion website * Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

Readership

Financial Engineers and Analysts; Numerical Analysts in Banking, Insurance, and Corporate Finance

Table of Contents

Contents Chp. 1 Overview of Financial Derivatives Chp. 2 Introduction to Stochastic Processes 2.1 Brownian Motion 2.2 A Brownian Model of Asset Price Movements 2.3 Itos's Formula (or lemma) 2.4 Girsanov's Theorem 2.5 Ito's Lemma for Multi-asset Geometric Brownian Motion 2.6 Ito Product and Quotient Rules 2.7 Ito Product in n Dimensions 2.8 The Brownian Bridge 2.9 Time Transformed Brownian Motion 2.10 Ornstein Uhlenbeck Bridge 2.11 The Ornstein Uhlenbeck Bridge 2.12 Other Useful Results 2.13 Selected Problems Chp. 3 Generation of Random Variates 3.1 Introduction 3.2 Pseudo-random and Quasi-random Sequences 3.3 Generation of Multivariate Distributions: independent variates 3.4 Generation of Multivariate Distributions: Correlated Variates Chp. 4 European Options 4.1 Introduction 4.2 Pricing Derivatives Using A Martingale Measure 4.3 Put Call Parity 4.4 Vanilla Options and the Black Scholes Model 4.5 Barrier Options Chp. 5 Single Asset American Options 5.1 Introduction 5.2 Aproximations for Vanilla American Options 5.3 Lattice Methods for Vanilla Options 5.4 Grid Methods for Vanilla Options 5.5 Pricing American Options Using A Sthochastic Lattice Chp. 6 Multi-Asset Options 6.1 Introduction 6.2 The Multi-Asset Black Scholes Equation 6.3 Multi-dimenssional M

Details

No. of pages:
384
Language:
English
Copyright:
© 2008
Published:
Imprint:
Academic Press
Print ISBN:
9780750669191
Electronic ISBN:
9780080878072

About the editors

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

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

Reviews

“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy's own Numerical Recipes in C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.” - Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK