Computational Finance Using C and C# Contributor(s): Levy, George (Author) |
|
ISBN: 0750669195 ISBN-13: 9780750669191 Publisher: Academic Press OUR PRICE: $121.00 Product Type: Hardcover - Other Formats Published: May 2008 * Not available - Not in print at this time * |
Additional Information |
BISAC Categories: - Computers | Desktop Applications - Personal Finance Applications - Computers | Programming Languages - C - Computers | Programming Languages - C# |
Dewey: 332.028 |
LCCN: 2008000470 |
Series: Quantitative Finance |
Physical Information: 1.12" H x 6.35" W x 9.25" (1.64 lbs) 370 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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. |