Computational Finance Using C and C#

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 derivatives - 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. "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. This book contains 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 are 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# is available to book buyers on companion website. The book illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

ISBN 0750669195   Pages 384 ISBN13 9780750669191 (What's this?)   Volumes 1 Publisher Elsevier Science & Technology   Weight (grammes) 698 Imprint Academic Press Inc.(London) Ltd   Published in London Format Hardback   Series title Quantitative Finance Publication date 13 Jun 2008   Height (mm) 234 Library of Congress 2008000470   Width (mm) 156 DEWEY 332.02855133   Spine width (mm) 22 DEWEY edition DC22   Academic level Professional / Scholarly

1		Overview of financial derivatives		1
2		Introduction to stochastic processes		5
3		Generation of random variates		37
4		European options		59
5		Single asset American options		97
6		Multiasset options		181
7		Other financial derivatives		209
8		C# portfolio application		245
App. A		The Greeks for vanilla European options		289
App. B		Barrier option integrals		295
App. C		Standard statistical results		303
App. D		Statistical distribution functions		313
App. E		Mathematical reference		321
App. F		Black-Scholes finite-difference schemes		325
App. G		The Brownian bridge : alternative derivation		329
App. H		Brownian motion : more results		333
App. I		The Feynman-Kac formula		341
App. J		Answers to problems		343
		References		355
		Index		361

"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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