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Computational Finance Using C and C#: Derivatives and Valuation (Quantitative Finance)

Computational Finance Using C and C#: Derivatives and Valuation (Quantitative Finance)

by George Levy (Author), George Levy (Author)

  • New

    Hardcover 2016

    $68.76
Synopsis

Computational Finance Using C and C#: Derivatives and Valuation, Second Edition provides derivatives pricing information for equity derivatives, interest rate derivatives, foreign exchange derivatives, and credit derivatives. By providing free access to code from a variety of computer languages, such as Visual Basic/Excel, C++, C, and C#, it gives readers stand-alone examples that they can explore before delving into creating their own applications. It is written for readers with backgrounds in basic calculus, linear algebra, and probability. Strong on mathematical theory, this second edition helps empower readers to solve their own problems. *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.

$68.76

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20+ in stock

More Information

Format: Hardcover
 Pages: 388
 Edition: 2nd Revised edition
 Publisher: Academic Press
Published: 15 Jun 2016
ISBN 10: 012803579X
ISBN 13: 9780128035795
Book Overview: The second edition of this practical guide features pricing information for equity, interest rate, foreign exchange, and credit derivatives, and includes access to standalone examples and code from a variety of computer languages to help readers learn how to develop custom applications to tackle their computational finance problems.

Media Reviews
I recommend this book to anyone who needs a strong reference on the computational aspects of financial calculations. The reader will find not only all the relevant computer codes in Visual Basic/Excel, C++, C, and C#, but also the required theory for a better understanding of financial concepts. --Francois-Eric Racicot, University of Ottawa This is a book with equal coverage of financial mathematics, derivatives, and computer programming. It will be a welcome addition to any student's or practitioner's library. --Yuh-Dauh Lyuu, National Taiwan University The use of derivatives for hedging possible finance risks became extremely popular due to the globalisation of international trade. This book provides for readers interesting linkage of theoretical background for valuation of all types of derivatives with their practical impact. Professional valuers would appreciate the 8th chapter dealing with C# portfolio pricing app. Very topical is the last chapter dealing with 2008 credit crisis. I would like to strongly recommend this book for publishing. --Jiri Strouhal, University of Economics Prague and President of Association of Czech Professional Accountants
Author Bio
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.