Computational Finance Using C and C#
Academic Press Inc (Verlag)
978-0-12-803579-5 (ISBN)
*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.
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.
1. Overview of financial derivatives2. Introduction to stochastic processes3. Generation of random variates4. European Options5. Single asset American options6. Multi-asset options7. Other Financial Derivatives8. C# Portfolio Pricing Application9. A Brief History of Finance
AppendixA. The Greeks for vanilla European optionsB. Barrier option integralsC. Standard statistical resultsD. Statistical distribution functionsE. Mathematical referenceF. Black-Scholes finite-difference schemesG. The Brownian Bridge: alternative derivationH. Brownian motion: more resultsI. Feynman-Kac formula
| Erscheinungsdatum | 03.06.2016 |
|---|---|
| Reihe/Serie | Quantitative Finance |
| Verlagsort | San Diego |
| Sprache | englisch |
| Maße | 152 x 229 mm |
| Gewicht | 540 g |
| Themenwelt | Mathematik / Informatik ► Informatik ► Programmiersprachen / -werkzeuge |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
| ISBN-10 | 0-12-803579-X / 012803579X |
| ISBN-13 | 978-0-12-803579-5 / 9780128035795 |
| Zustand | Neuware |
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