Computational Finance. Quantitative Finance

  • ID: 1758771
  • Book
  • 456 Pages
  • Elsevier Science and Technology
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Computational Finance 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.

- Enables reader to incorporate advanced financial modelling techniques in Windows compatible software- Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options

Please Note: This is an On Demand product, delivery may take up to 11 working days after payment has been received.
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Using Numerical Software Components with Microsoft Windows: Introduction; Dynamic Link Libraries (DLLs); ActiveX and COM; A financial derivative pricing example; ActiveX components and numerical optimization; XML and transformation using XSL; Epilogue; Pricing Assets: Introduction; Analytical methods and single asset European options; Numeric methods and single asset American options; Monte Carlo simulation; Multiasset European and American options; Dealing with missing data; Financial Econometrics: Introduction; GARCH models; Nonlinear GARCH; GARCH conditional probability distributions; Maximum likelihood parameter estimation; Analytic derivatives of the log likelihood; GJR-GARCH algorithms; GARCH software; GARCH process identification; Multivariate time series; Appendices.
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Levy, George
George Levy currently 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 Derivatives. His interests include: Monte Carlo simulation, Microsoft technologies and derivative valuation.
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