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Computational Finance Using C and C#
- 1st Edition - May 1, 2008
- Author: George Levy
- Language: English
- Hardback ISBN:9 7 8 - 0 - 7 5 0 6 - 6 9 1 9 - 1
- eBook ISBN:9 7 8 - 0 - 0 8 - 0 8 7 8 0 7 - 2
Computational Finance Using C and C# raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enable… Read more
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Request a sales quoteComputational Finance Using C and C# 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. The book 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); and credit derivatives (credit default swaps, defaultable bonds, total return swaps).
This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals.
This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance.
This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals.
This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance.
- Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices
Financial Engineers and Analysts, Numerical Analysts in Banking, Insurance, and Corporate Finance
Contents
1. Overview of Financial Derivatives
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
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
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
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
6. Multi-Asset Options
6.1 Introduction
6.2 The Multi-Asset Black Scholes Equation
6.3 Multi-dimenssional Monte Carlo Methods
6.4 Introduction to Multi-dimenssional Lattice Methods
6.5 Two Asset Options
6.6 Three Asset Options
6.7 Four Asset Options
7. Other Financial Derivatives
7.1 Introduction
7.2 Interest Rate Derivatives
7.3 Foreign Exchange Derivatives
7.4 Credit Derivatives
7.5 Equity Derivatives
8. C# Portfolio Pricing Application
8.1 Introduction
8.2 Storing and Retrieving the Market Data
8.3 The PricingUtils Class and the Analytics_MathLib
8.4 Equity Deal Classes
8.5 FX Deal Classes
Appendix
A: The Greeks for Vanila European Options
B: Barrier Option Integrals
C: Standard Statistical Results
D: Statistical Distribution Functions
E: Mathematical Reference
F: Black-Scholes Finite-Difference Schemes
1. Overview of Financial Derivatives
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
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
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
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
6. Multi-Asset Options
6.1 Introduction
6.2 The Multi-Asset Black Scholes Equation
6.3 Multi-dimenssional Monte Carlo Methods
6.4 Introduction to Multi-dimenssional Lattice Methods
6.5 Two Asset Options
6.6 Three Asset Options
6.7 Four Asset Options
7. Other Financial Derivatives
7.1 Introduction
7.2 Interest Rate Derivatives
7.3 Foreign Exchange Derivatives
7.4 Credit Derivatives
7.5 Equity Derivatives
8. C# Portfolio Pricing Application
8.1 Introduction
8.2 Storing and Retrieving the Market Data
8.3 The PricingUtils Class and the Analytics_MathLib
8.4 Equity Deal Classes
8.5 FX Deal Classes
Appendix
A: The Greeks for Vanila European Options
B: Barrier Option Integrals
C: Standard Statistical Results
D: Statistical Distribution Functions
E: Mathematical Reference
F: Black-Scholes Finite-Difference Schemes
- No. of pages: 384
- Language: English
- Edition: 1
- Published: May 1, 2008
- Imprint: Academic Press
- Hardback ISBN: 9780750669191
- eBook ISBN: 9780080878072
GL
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