Computational Finance Using C and C#
-10%
portes grátis
Computational Finance Using C and C#
Levy, George (Senior Project Consultant developing software for estimating financial risk, SunGard Systems, UK)
Elsevier Science & Technology
05/2008
384
Dura
Inglês
9780750669191
15 a 20 dias
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.
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# 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
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
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.
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# 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
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
