
- 388 pages
- English
- PDF
- Available on iOS & Android
About this book
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
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Information
Table of contents
- Front Cover
- Computational Finance Using C and C#
- Copyright
- Table of Contents
- Preface
- 1 Overview of Financial Derivatives
- 2 Introduction to Stochastic Processes
- 3 Generation of Random Variates
- 4 European Options
- 5 Single Asset American Options
- 6 Multi-asset Options
- 7 Other Financial Derivatives
- 8 C# Portfolio Pricing Application
- 9 A Brief History of Finance
- A The Greeks for Vanilla European Options
- B Barrier Option Integrals
- C Standard Statistical Results
- D Statistical Distribution Functions
- E Mathematical Reference
- F Black21Scholes Finite-Difference Schemes
- G The Brownian Bridge: Alternative Derivation
- H Brownian Motion: More Results
- I Feynman21Kac Formula
- Glossary
- Bibliography
- Further Reading
- Index