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

__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. * Features new programming problems, examples, and exercises with solutions added to each chapter * Includes freely-accessible source code in languages such as C, C++, VBA, C#, Excel, * Includes a new chapter on the credit crisis of 2008 * Emphasizes mathematical theory Computational Finance Using C and C#: Derivatives and Valuation, Second Editionprovides 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.Features new programming problems, examples, and exercises with solutions added to each chapterIncludes freely-accessible source code in languages such as C, C++, VBA, C#, Excel,Includes a new chapter on the credit crisis of 2008Emphasizes mathematical theory George Levycurrently 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 Content: Half Title Page,Aims and Objectives,Title Page,Copyright,Dedication,Table of Contents,PrefaceEntitled to full textChapter 1 - Overview of Financial Derivatives, Pages 1-4 Chapter 2 - Introduction to Stochastic Processes, Pages 5-34 Chapter 3 - Generation of Random Variates, Pages 35-56 Chapter 4 - European Options, Pages 57-92 Chapter 5 - Single Asset American Options, Pages 93-174 Chapter 6 - Multi-asset Options, Pages 175-202 Chapter 7 - Other Financial Derivatives, Pages 203-238 Chapter 8 - C# Portfolio Pricing Application, Pages 239-274 Chapter 9 - A Brief History of Finance, Pages 275-300 Appendix A - The Greeks for Vanilla European Options, Pages 301-306 Appendix B - Barrier Option Integrals, Pages 307-314 Appendix C - Standard Statistical Results, Pages 315-324 Appendix D - Statistical Distribution Functions, Pages 325-332 Appendix E - Mathematical Reference, Pages 333-336 Appendix F - Black–Scholes Finite-Difference Schemes, Pages 337-340 Appendix G - The Brownian Bridge: Alternative Derivation, Pages 341-344 Appendix H - Brownian Motion: More Results, Pages 345-352 Appendix I - Feynman–Kac Formula, Pages 353-354 Glossary, Pages 355-356 References, Pages 357-362 Pages 363-370 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.-- Provided by Publisher