Computational Finance Using C and C#. Edition No. 2. Quantitative Finance

  • ID: 3642489
  • Book
  • 388 Pages
  • Elsevier Science and Technology
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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

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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

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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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