Computational Finance Using C And C#

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Overview

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.

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Editorial Reviews

From the Publisher
George Levy's first book, Computational Finance, was chosen as a Top Ten Financial Engineering title for 2003-04 by Financial Engineering News

“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy's own Numerical Recipes in C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.”
- Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK

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Product Details

  • ISBN-13: 9780750669191
  • Publisher: Elsevier Science
  • Publication date: 5/1/2008
  • Series: Quantitative Finance Series
  • Pages: 384
  • Product dimensions: 6.30 (w) x 9.10 (h) x 1.50 (d)

Meet the Author

George Levy has a doctorate in mathematical physics from Oxford University. For 11 years he worked at the Numerical Algorithms Group NAG, developing mathematical and financial software. Currently he works as a consultant at SunGard developing software for estimating financial risk. He has provided technical consultancy to numerous financial institutions, and has published articles on numerical modelling, mathematical finance and software engineering. He is the author of Computational Finance: Numerical Methods for Pricing Financial Derivatives. His current interests include Monte Carlo simulation, derivative valuation techniques, and Microsoft technologies.

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Table of Contents

Contents

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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