Computational Finance Using C and C#

Derivatives and Valuation

George Levy (Autor)

Buch | Hardcover

388 Seiten

2016 | 2nd edition
Academic Press Inc (Verlag)
978-0-12-803579-5 (ISBN)

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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.

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.

1. Overview of financial derivatives2. Introduction to stochastic processes3. Generation of random variates4. European Options5. Single asset American options6. Multi-asset options7. Other Financial Derivatives8. C# Portfolio Pricing Application9. A Brief History of Finance

AppendixA. The Greeks for vanilla European optionsB. Barrier option integralsC. Standard statistical resultsD. Statistical distribution functionsE. Mathematical referenceF. Black-Scholes finite-difference schemesG. The Brownian Bridge: alternative derivationH. Brownian motion: more resultsI. Feynman-Kac formula

Erscheinungsdatum	03.06.2016
Reihe/Serie	Quantitative Finance
Verlagsort	San Diego
Sprache	englisch
Maße	152 x 229 mm
Gewicht	540 g
Themenwelt	Mathematik / Informatik ► Informatik ► Programmiersprachen / -werkzeuge
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	0-12-803579-X / 012803579X
ISBN-13	978-0-12-803579-5 / 9780128035795
Zustand	Neuware