Computational Finance Using C and C# - Couverture rigide

Levy, George

Couverture rigide

ISBN 10 : 0750669195 ISBN 13 : 9780750669191

Editeur : Academic Press Inc.(London) Ltd, 2008

Synopsis

Book by Levy George

A propos du livre

Présentation de l'éditeur

In Computational Finance Using C and C# George Levy 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. Levy 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
― credit derivatives: credit default swaps, defaultable bonds, total return swaps.

Computational Finance Using C and C# by George Levy is supported by extensive web resources. Available for purchase on the multi-tier website are e versions of this book and Levy’s first book, Computational Finance: Numerical Methods for Pricing Financial Derivatives. Purchasers of the print or e-book can download free software consisting of executable files, configuration files, and results files. With these files the user can run the example portfolio application in Chapter 8 and change the portfolio composition and the attributes of the deals.

In addition, Upgrade Software is available on the website for a small fee, and includes:
• Code to run all the C, C# and Excel examples in the book
• Complete C source code for the Analytics_Mathlib maths library that is used in the book
• C# source code, market data and portfolio files for the portfolio application described in Chapter 8

All the C/C# software can be compiled using either Visual Studio .NET 2005, or the freely available Microsoft Visual C#/C++ 2005 Express Editions.

With this software, the user can open the files and create new deals, new instruments, and change the attributes of the deals by editing the code and recompiling it. This serves as a template that a user can run to customize the deals for their personal, everyday use.

* Complete financial instrument pricing code in standard C and C# available to book buyers on companion website
* Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

Revue de presse

“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy's own Numerical Recipes in C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.
- Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK

Détails de l'édition

• Éditeur: Academic Press Inc.(London) Ltd
• Date d'édition: 2008
• ISBN 10: 0750669195
• ISBN 13: 9780750669191
• Reliure: Relié
• Langue: anglais
• Nombre de pages: 384