Computational Finance Using C and C# (Quantitative Finance) by George Levy

By George Levy

In Computational Finance utilizing C and C# George Levy increases computational finance to the subsequent point utilizing the languages of either regular C and C#. The inclusion of either those languages permits readers to compare their use of the ebook to their agencies inner software program and code requisites. Levy additionally presents derivatives pricing info for:
fairness derivates: vanilla thoughts, quantos, widespread fairness basket options
rate of interest derivatives: FRAs, swaps, quantos
foreign currency derivatives: FX forwards, FX options
credits derivatives: credits default swaps, defaultable bonds, overall go back swaps.

Computational Finance utilizing C and C# via George Levy is supported by means of broad internet assets. that can be purchased at the multi-tier web site are e types of this publication and Levys first publication, Computational Finance: Numerical tools for Pricing monetary Derivatives. buyers of the print or book can obtain loose software program such as executable records, configuration records, and effects records. With those records the person can run the instance portfolio software in bankruptcy eight and alter the portfolio composition and the attributes of the deals.

In addition, improve software program is obtainable at the web site for a small price, and comprises:
Code to run all of the C, C# and Excel examples within the booklet
whole C resource code for the Analytics_Mathlib maths library that's utilized in the book
C# resource code, marketplace information and portfolio records for the portfolio program defined in bankruptcy 8

All the C/C# software program might be compiled utilizing both visible Studio .NET 2005, or the freely on hand Microsoft visible C#/C++ 2005 show variations.

With this software program, the consumer can open the documents and create new offers, new tools, and alter the attributes of the bargains by way of enhancing the code and recompiling it. This serves as a template consumer can run to customise the offers for his or her own, daily use.

* whole monetary tool pricing code in normal C and C# to be had to publication dealers on spouse web site
* Illustrates using C# layout styles, together with dictionaries, summary periods, and .NET InteropServices.

Show description

Read or Download Computational Finance Using C and C# (Quantitative Finance) PDF

Similar finance books

The Reluctant Entrepreneur: Turning Dreams into Profits

Clever concepts for beginning and turning out to be a small company with minimum own monetary risk

A finished consultant for marketers from the most winning company creators lately, The Reluctant Entrepreneur: Turning goals into earnings addresses the fears and misconceptions that many folks have approximately beginning their very own companies, strolling potential vendors in the course of the useful judgements they should make prior to even placing a marketing strategy in place.

Presenting stable, trustworthy techniques in line with writer Michael Masterson's personal profitable practices, and debunking a few universal illusions marketers have approximately their companies, the e-book is an important source for a person seeking to stay away from the pitfalls that threaten fledgling companies.

filled with insights from an entrepreneur who has introduced and bought dozens of industrial, offered in a full of life and conversational sort
a few 600,000 new companies are introduced every year and with an doubtful economic climate, an increasing number of everyone is searching for a flow of source of revenue become independent from their nine to five task
full of hugely appropriate recommendation that budding marketers can commence utilizing immediately

Essential studying for small enterprise proprietors and either first time and validated marketers, The Reluctant Entrepreneur provides the shrewdpermanent thoughts on beginning and transforming into a small enterprise that may make launching your individual corporation a cinch.

Hedge Hogs: The Cowboy Traders Behind Wall Street's Largest Hedge Fund Disaster

At its height, hedge fund Amaranth Advisors LLC had greater than $9 billion in resources. a couple of weeks later, it thoroughly collapsed. The catastrophe used to be principally caused by means of one guy: thirty-two-year-old hotshot dealer Brian Hunter. His high-risk bets on common gasoline costs bankrupted his enterprise and destroyed his profession, whereas John Arnold, his rival at competitor fund Centaurus, emerged because the highest-paid dealer on Wall road.

Interest Rate and Currency Swaps (The Research Foundation of AIMR and Blackwell Series in Finance)

Rate of interest and foreign money Swaps: an instructional is a radical dialogue of 2 valuable and usual sorts of derivatives-interest expense and forex swaps. The authors offer step by step directions and real-life examples of the way to exploit the swaps. routines (and recommendations) after every one bankruptcy allow readers to profit by way of doing, and the publication includes a accomplished bibliography.

Credit Risk

Modelling credits chance correctly is imperative to the perform of mathematical finance. nearly all of on hand texts are aimed toward a sophisticated point, and are more desirable for PhD scholars and researchers. This quantity of the gaining knowledge of Mathematical Finance sequence addresses the necessity for a path meant for master's scholars, final-year undergraduates, and practitioners.

Additional info for Computational Finance Using C and C# (Quantitative Finance)

Example text

Are random variates with a joint probability density function p(x1 , x2 , . ), and if there are an equal number of y variates y1 , y2 , . . that are functions of the x’s, then the joint probability density function of the y variates, p(y1 , y2 , . ), is given by the following expression: p(y1 , y2 , . ) dy1 dy2 , . . = p(x1 , x2 , . )Jx,y dy1 dy2 , . . 1) where Jx,y is the Jacobian determinant of the x’s with respect to the y’s. An important application of this result is the Box–Muller transformation in which a p variate independent normal distribution N(0, Ip ) is generated from a p variate uniform distribution U(0, 1); see Box and Muller (1958).

2) gives x = (−2 log V1 )1/2 cos 2πV2 , where x and y are N(0, 1). 5) 44 Computational Finance Using C and C# The Box–Muller method is contained in Eq. 5), which shows that the N(0, 1) variates are generated in pairs from the uniform U(0, 1) variates V1 and V2 . Since the N(0, 1) variates are created two at a time, if we want to generate a normal distribution with an odd number of dimensions, nodd , it is necessary to generate nodd + 1 dimensions and discard one of the dimensions. It is easy to modify Eq.

The Cartesian coordinates of the ith point on an n-dimensional hypersphere with radius r can be shown to be: xi,1 = r cos(θi,1 ) xi,2 = r sin(θi,1 ) cos(θi,2 ) 50 Computational Finance Using C and C# xi,3 = r sin(θi,1 ) sin(θi,2 ) cos(θi,3 ) xi,4 = r sin(θi,1 ) sin(θi,2 ) sin(θi,3 ) cos(θi,4 ) .. xi,n−1 = r sin(θi,1 ) sin(θi,2 ) · · · sin(θi,n−3 ) sin(θi,n−2 ) cos(θi,n−1 ) xi,n = r sin(θi,1 ) sin(θi,2 ) · · · sin(θi,n−2 ) sin(θi,n−1 ) where θi,1 are spherical coordinates and have the following constraints: 0 θi,k π, k = 1, .

Download PDF sample

Rated 4.81 of 5 – based on 45 votes