Computational Finance Using C and C# - 1st Edition - ISBN: 9780750669191, 9780080878072

Computational Finance Using C and C#

1st Edition

Authors: George Levy George Levy
Hardcover ISBN: 9780750669191
eBook ISBN: 9780080878072
Imprint: Academic Press
Published Date: 1st May 2008
Page Count: 384
Tax/VAT will be calculated at check-out
96.95
78.95
62.99
104.00
Unavailable
Compatible Not compatible
VitalSource PC, Mac, iPhone & iPad Amazon Kindle eReader
ePub & PDF Apple & PC desktop. Mobile devices (Apple & Android) Amazon Kindle eReader
Mobi Amazon Kindle eReader Anything else

Institutional Access


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


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.

Key Features

  • 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


Details

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

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


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

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