Computational Finance Using C and C#

Raises computational finance to the next level using the languages of standard C and C#. This book provides derivatives pricing information for: equity derivatives - vanilla options, quantos, generic equity basket options; interest rate derivatives - FRAs, swaps, quantos; and foreign exchange derivatives - FX forwards and FX options.

List of contents

From the 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 sharp 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

Product details

• Authors: George Levy, George (Senior Project Consultant developing software for estimating financial risk Levy
• Publisher: Academic Press London
• Languages: English
• Product format: Hardback
• Released: 15.07.2008
• EAN: 9780750669191
• ISBN: 978-0-7506-6919-1
• Series: Quantitative Finance; Quantitative Finance
• Subject: Social sciences, law, business > Business > General, dictionaries