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
Autorentext
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.
Klappentext
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.
Inhalt
Contents
Chapter 1 Overview of Financial Derivatives
Chapter 2 Introduction to Stochastic Processes
Chapter 3 Generation of Random Variates
Chapter 4 European Options
Chapter 5 Single Asset American Options
Chapter 6 Multi-asset Options
Chapter 7 Other Financial Derivatives
Chapter 8 C# Portfolio Pricing Application
Appendix A The Greeks for Vanilla European Options
Appendix B Barrier Options Integrals
Appendix C Standard Statistical Results
Appendix D Statistical Distribution Functions
Appendix E Mathematical Reference
Appendix F Black-Scholes Finite-difference Schemes