Everand Logo

Welcome to Everand!

  • Discover millions of ebooks, audiobooks, and so much more with a free trial

    Only $11.99/month after trial. Cancel anytime.

    Computational Finance Using C and C#
    Computational Finance Using C and C#
    Computational Finance Using C and C#
    Ebook384 pages7 hours

    Computational Finance Using C and C#

    By George Levy

    ()

    Read preview

    About this ebook

    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
    LanguageEnglish
    PublisherAcademic Press
    Release dateJun 13, 2008
    ISBN9780080878072
    Computational Finance Using C and C#
    Author

    George Levy

    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.

    Read more from George Levy

    Related to Computational Finance Using C and C#

    Related ebooks

    Computers For You

    View More
    View More

    Related podcast episodes

    Related articles

    • Article

      Contesting

      Dec 1, 2021

      Single-op entrants in the six 2022 North American QSO Parties have, for the first time, the choice of entering the Assisted category. In previous years, assisted NAQP single ops had their scores listed with the multi-operator M/2 entrants. The 100-wa

      10 min read

    • Article

      Top 5 Dcc Pitfalls

      May 18, 2023

      Just about everyone who starts out with DCC control makes this mistake – I did. The initial outlay can be quite prohibitive, and the temptation to get a cheap pack of decoders is very tempting. This is false economy because they may fail after a shor

      4 min read

    • Article

      All Mod Cons

      Aug 7, 2019

      Hive 2 adds several handy and inspirational new modulation tools to the synth’s already well-stocked toolkit. The most interesting of these is the Shape Sequencer. A sort of mini step sequencer, this lets you arrange ‘blocks’ of modulation in order t

      1 min read

    • Article

      Cabrinha

      Mar 4, 2021

      Cabrinha
      7 min read

    • Article

      What Next?

      Jul 20, 2021

      The process could be taken to the next stage with moving spectacles. I have done some experiments with this idea. The spectacle spindle has to rotate in the bracket and requires keepers and spacers to keep everything square and in place. A brass cran

      1 min read

    Related categories

    Reviews for Computational Finance Using C and C#

    0 ratings

    0 ratings0 reviews

    What did you think?

    Tap to rate

    Review must be at least 10 words

      Book preview

      Computational Finance Using C and C# - George Levy

      Enjoying the preview?
      Page 1 of 1