Computational Finance

Computational Finance

Numerical Methods for Pricing Financial Instruments

1st Edition - December 17, 2003

Write a review

  • Author: George Levy
  • Hardcover ISBN: 9780750657228
  • eBook ISBN: 9780080472270

Purchase options

Purchase options
Available
DRM-free (EPub, PDF, Mobi)
Sales tax will be calculated at check-out

Institutional Subscription

Free Global Shipping
No minimum order

Description

Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++.These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application.Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML.

Key Features

  • Enables reader to incorporate advanced financial modelling techniques in Windows compatible software
  • Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options

Readership

Financial Analysts; Financial Engineers; Numerical Analysts; Investment Portfolio Managers; MATLAB Users in Investment Banking, Commercial Banking, Insurance, and Corporate Finance; MSc courses in Computational Finance

Table of Contents

  • Using Numerical Software Components with Microsoft Windows: Introduction; Dynamic Link Libraries (DLLs); ActiveX and COM; A financial derivative pricing example; ActiveX components and numerical optimization; XML and transformation using XSL; Epilogue; Pricing Assets: Introduction; Analytical methods and single asset European options; Numeric methods and single asset American options; Monte Carlo simulation; Multiasset European and American options; Dealing with missing data; Financial Econometrics: Introduction; GARCH models; Nonlinear GARCH; GARCH conditional probability distributions; Maximum likelihood parameter estimation; Analytic derivatives of the log likelihood; GJR-GARCH algorithms; GARCH software; GARCH process identification; Multivariate time series; Appendices.

Product details

  • No. of pages: 456
  • Language: English
  • Copyright: © Butterworth-Heinemann 2003
  • Published: December 17, 2003
  • Imprint: Butterworth-Heinemann
  • Hardcover ISBN: 9780750657228
  • eBook ISBN: 9780080472270

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

Ratings and Reviews

Write a review

There are currently no reviews for "Computational Finance"