Computational Finance Using C And C#by George Levy
Pub. Date: 05/01/2008
Publisher: Elsevier Science
In Computational Finance Using C and C# George Levy 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. Levy 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
credit derivatives: credit default swaps, defaultable bonds, total return swaps.
Computational Finance Using C and C# by George Levy is supported by extensive web resources. Available for purchase on the multi-tier website are e versions of this book and Levy’s first book, Computational Finance: Numerical Methods for Pricing Financial Derivatives. Purchasers of the print or e-book can download free software consisting of executable files, configuration files, and results files. With these files the user can run the example portfolio application in Chapter 8 and change the portfolio composition and the attributes of the deals.
In addition, Upgrade Software is available on the website for a small fee, and includes:
• Code to run all the C, C# and Excel examples in the book
• Complete C source code for the Analytics_Mathlib maths library that is used in the book
• C# source code, market data and portfolio files for the portfolio application described in Chapter 8
All the C/C# software can be compiled using either Visual Studio .NET 2005, or the freely available Microsoft Visual C#/C++ 2005 Express Editions.
With this software, the user can open the files and create new deals, new instruments, and change the attributes of the deals by editing the code and recompiling it. This serves as a template that a user can run to customize the deals for their personal, everyday use.
* Complete financial instrument pricing code in standard C and C# available to book buyers on companion website
* Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.
Table of ContentsContents
Chapter 1 Overview of Financial Derivatives
Chapter 2 Introduction to Stochastic Processes
Chapter 3 Generation of Random Variates
Chapter 4 European Options
Chapter 5 Single Asset American Options
Chapter 6 Multi-asset Options
Chapter 7 Other Financial Derivatives
Chapter 8 C# Portfolio Pricing Application
Appendix A The Greeks for Vanilla European Options
Appendix B Barrier Options Integrals
Appendix C Standard Statistical Results
Appendix D Statistical Distribution Functions
Appendix E Mathematical Reference
Appendix F Black-Scholes Finite-difference Schemes
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