Computational Finance

This book presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++. These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application. Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML. A CD-ROM is included which contains: working computer code, demonstration applications and also pdf versions of several research articles. The book enables readers to incorporate advanced financial modelling techniques in Windows compatible software. It aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options. It includes a CD-ROM with adaptive software.

ISBN 0750657227   Pages 456 ISBN13 9780750657228 (What's this?)   Volumes 1 Publisher Elsevier Science & Technology   Weight (grammes) 894 Imprint Butterworth-Heinemann Ltd   Published in Oxford Format Hardback   Series title Quantitative Finance Publication date 17 Dec 2003   Height (mm) 234 Library of Congress HG106   Width (mm) 165 DEWEY 332.015118   Spine width (mm) 29 DEWEY edition DC22   Academic level Professional / Scholarly

		Preface
Pt. I		Using Numerical Software Components within Microsoft Windows		1
1		Introduction		3
2		Dynamic Link Libraries (DLLs)		6
3		ActiveX and COM		28
4		A financial derivative pricing example		38
5		Active X components and numerical optimization		44
6		XML and transformation using XSL		54
7		Epilogue		64
Pt. II		Pricing Assets		75
8		Introduction		77
9		Analytic methods and single asset European options		87
10		Numeric methods and single asset American options		116
11		Monte Carlo simulation		221
12		Multiasset European and American options		247
13		Dealing with missing data		274
Pt. III		Financial Econometrics		285
14		Introduction		287
15		GARCH models		301
16		Nonlinear GARCH		311
17		GARCH conditional probability distributions		319
18		Maximum likelihood parameter estimation		327
19		Analytic derivatives of the log likelihood		336
20		GJR-GARCH algorithms		344
21		GARCH software		353
22		GARCH process identification		360
23		Multivarite time series		371
		More...

There are a number of books that describe the numerical methods available for solving the resultant equations in each of these areas. But the final step of coding the numerical models in a suitable environment has not, up to this point, been particularly well covered. Until now. My next choice, Computational Finance: Numerical Methods for Pricing Financial Instruments, written by George Levy and published by Elsevier Butterworth Heinemann as part of the Elsevier finance series, does precisely that. It also includes a CD full of code and examples in environments including Visual Basic in Excel, C, C++, as well as more advanced environments such as HTML, XML, Delphi and C#.net. This is the first in what I expect will become a growing area, which may mean that financial engineering coders will finally be able to throw out their old copies of Numerical Recipes. One of the Top Ten financial engineering titles published in 2003-2004 - Richard Norgate, Ph.D., Financial Engineering News

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