Computational Finance Using C and C#

Other | June 1, 2008

byLevy, George, George Levy

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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.

  • Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

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From the Publisher

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 informatio...

George Levycurrently 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 Deri...

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Format:OtherDimensions:384 pages, 1 × 1 × 1 inPublished:June 1, 2008Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080878075

ISBN - 13:9780080878072

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Extra Content

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