Computational Finance Using C and C# - Rilegato

Levy, George

Rilegato

ISBN 10: 0750669195 ISBN 13: 9780750669191

Casa editrice: Academic Pr, 2008

Riassunto

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 derivates: vanilla options, quantos, generic equity basket options
— interest rate derivatives: FRAs, swaps, quantos
— foreign exchange derivatives: FX forwards, FX options
— 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
• 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 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# available to book buyers on companion website
* Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

Su questo libro

Informazioni sull?autore

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.

Dalla quarta di copertina

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.

Dettagli dell?edizione

• Editore: Academic Pr
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 0750669195
• ISBN 13: 9780750669191
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 370
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile