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Computational Finance Using C and C#
Derivatives and Valuation
- 2nd Edition - June 17, 2016
- Author: George Levy
- Language: English
- Hardback ISBN:9 7 8 - 0 - 1 2 - 8 0 3 5 7 9 - 5
- eBook ISBN:9 7 8 - 0 - 1 2 - 8 0 3 5 7 6 - 4
Computational Finance Using C and C#: Derivatives and Valuation, Second Edition provides derivatives pricing information for equity derivatives, interest rate derivativ… Read more
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Request a sales quoteComputational 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.
- Features new programming problems, examples, and exercises with solutions added to each chapter
- Includes freely-accessible source code in languages such as C, C++, VBA, C#, Excel,
- Includes a new chapter on the credit crisis of 2008
- Emphasizes mathematical theory
Upper-division undergraduates and first-year graduate students worldwide in financial engineering, quantitative finance, computational finance and mathematical finance. Also professionals working in financial institutions, insurance, and risk management
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
- No. of pages: 388
- Language: English
- Edition: 2
- Published: June 17, 2016
- Imprint: Academic Press
- Hardback ISBN: 9780128035795
- eBook ISBN: 9780128035764
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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, UKRead Computational Finance Using C and C# on ScienceDirect