Computational Finance Using C and C#

Computational Finance Using C and C# : Derivatives and Valuation

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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.
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Product details

  • Hardback | 388 pages
  • 152 x 229 x 25.4mm | 540g
  • Academic Press Inc
  • San Diego, United States
  • English
  • 2nd edition
  • 012803579X
  • 9780128035795
  • 2,172,747

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

Appendix B. Barrier option integrals

Appendix C. Standard statistical results

Appendix D. Statistical distribution functions

Appendix E. Mathematical reference

Appendix F. Black-Scholes finite-difference schemes

Appendix G. The Brownian Bridge: alternative derivation

Appendix H. Brownian motion: more results

Appendix I. Feynman-Kac formula
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Review Text

"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 8 th 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
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Review quote

"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
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About 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.
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