Computational Finance Using C and C# (Quantitative Finance)

Levy DPhil University of Oxford, George

ISBN 10: 0750669195 / ISBN 13: 9780750669191

Published by Academic Press, 2008

About this Item

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Bibliographic Details

Title: Computational Finance Using C and C# (...

Publisher: Academic Press

Publication Date: 2008

Binding: Hardcover

Condition: Acceptable

About this title

Synopsis:

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.

Review:

The latest on numerical optimization of portfolios and financial instrument pricing using both standard C and C# code