Computational Finance Using C And C#: Derivatives And Valuation

Hardcover | June 17, 2016

byGeorge Levy

not yet rated|write a review
Computational 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

Pricing and Purchase Info

$133.90 online
$139.50 list price
In stock online
Ships free on orders over $25

From the Publisher

Computational 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 ...

From the Jacket

Computational Finance Using C and C#: Derivatives and Valuation, Second Editionprovides 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...

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...

other books by George Levy

Can-am 50th Anniversary: Flat Out With North America's Greatest Race Series 1966-74
Can-am 50th Anniversary: Flat Out With North America's ...

Paper over Board|Oct 31 2016

$59.92 online$78.00list price(save 23%)
Computational Finance Using C and C#: Derivatives and Valuation
Computational Finance Using C and C#: Derivatives and V...

Kobo ebook|Jul 1 2016

$102.09 online$132.55list price(save 22%)
Anthropologists and Indians in the New South
Anthropologists and Indians in the New South

Kobo ebook|Sep 15 2009

$35.39 online$45.87list price(save 22%)
see all books by George Levy
Format:HardcoverDimensions:388 pages, 9.41 × 7.24 × 0.98 inPublished:June 17, 2016Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:012803579X

ISBN - 13:9780128035795

Look for similar items by category:

Customer Reviews of Computational Finance Using C And C#: Derivatives And Valuation

Reviews

Extra Content

Table of Contents

1. Overview of financial derivatives

2. Introduction to stochastic processes

3. Generation of random variates

4. European Options

5. Single asset American options

6. Multi-asset options

7. Other Financial Derivatives

8. C# Portfolio Pricing Application

9. A Brief History of Finance

Appendix A. The Greeks for vanilla European options

Appendix B. Barrier option integrals

Appendix C. Standard statistical results

Appendix D. Statistical distribution functions

Appendix E. Mathematical reference

Appendix F. Black-Scholes finite-difference schemes

Appendix G. The Brownian Bridge: alternative derivation

Appendix H. Brownian motion: more results

Appendix I. Feynman-Kac formula