Computational Finance Using C and C#

May 1, 2008|
Computational Finance Using C and C# by George Levy
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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 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.



  • Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.
Contents Chapter 1 Overview of Financial DerivativesChapter 2 Introduction to Stochastic ProcessesChapter 3 Generation of Random VariatesChapter 4 European OptionsChapter 5 Single Asset American OptionsChapter 6 Multi-asset OptionsChapter 7 Other Financial DerivativesChapter 8 C# Portfolio Pricing ApplicationAppendix A The Greeks for V...
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Title:Computational Finance Using C and C#
Format:Hardcover
Product dimensions:384 pages, 9 X 6 X 0.98 in
Shipping dimensions:384 pages, 9 X 6 X 0.98 in
Published:May 1, 2008
Publisher:Academic Press
Language:English
Appropriate for ages:All ages
ISBN - 13:9780750669191

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